I chose Unity 5 as my target platform. The implementation is currently quite "naive". Each particle is rendered with special shader which utilizes regular N*L Valve's Half-Lambert lighting for self-shadowing. Shadow casting is done via alpha-cutout pass but there is no shadow-receiving. It currently supports only one strongest directional light. And even though it is quite limited in many ways, I am happy with the result.
In the future I'll dig into command buffers so that more advanced and visually pleasing results could be achieved. As for now you can grab the package from the Asset Store for as much as 10 bucks. Here you go.