First create your light.
Right click on the grid -> light

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Check out the Preview options. Lets look at the most used items.
View -> Light Preview
Enable Light Preview - Enable if you want the preview when selecting lights.
Preview sun as well - Enables worldspawn settings to be rendered when light preview is active.
Toggle preview at max intensity - Turn on/off light falloff.

Important!
-You may only have one active primary light on a surface, that is why "preview at max intensity" is useful.
-All primary lights need a null entity attached like a spotlight, this is for shadows.



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A Primary light is a dynamic light, it will cast shadow of all objects and reflect off surfaces in relation to the player. It is also a higher quality light than a non-primary.

Primary_omni - Regular light, 360 degree.
Primary_spot - Same as omni but a spot light, discussed below.
Primary_scriptable - Yes, lights can now be scripted.
Primary_noshadow - The light will not cast any shadows.

_color - press "k" to select your color for the light. Value is x/255 RGB.
def - Can be any of the following or anything you create in asset manager.
Candle, Florescent, light_dynamic, light_no_falloff, light_point_dark_edges, light_point_linear, light_linear_point_nocenter, light_point_quadratic, red_light, tungsten_lamp.

exponent - amount of falloff at edges.
fov_inner & fov_outer - range in degrees of light (spot)
radius - how large the light is in units.



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Now to use the light preview you must select a light that has already been placed in your map. Once selected your 3D preview should change.

For a projected light you will want to make a spot light, this is easy enough to create.
Make your light entity with the desired values.
Create a null object in front of the light.
Right click on the grid -> info -> null
The null doesn't need any values.
Now connect the two objects, your light and null.
Select your light.
Select your null while your light is selected.
Press "w" to connect, it must be done in this order.
You will know it has been successful when your light preview shows a more targeted light.
You may move the light and null individually to get your desired light.

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These two pictures are primary spot lights with max intensity on and off to show the dramatic diffrence, the entity editor displays this light's values.

Lighting 101 by AmishThunder
http://www.kramerartanddesign.com