Is it possible to do per pixel lighting with regular D3D lights? I was thinking of using 3D lightmaps for then I can create some interesting shapes. Does anyone know how lighting is done in the unreal engine? There are many differently shaped lights availible. Thanks...

No it''s not possible to do it with regular D3D lights.
The next-gen unreal engine uses Lightmaps and precalculated vertex-lighting on HW meshes. The old one only uses Lightmaps.