Only static shadows or masked textures. This is due to the deferred shading... almost no engine with deferred shading is able to do that (because it's a stupid and expensive hack to do so). No SSAA also.
I only have static shadows :s. The shadows work with realtime lighting though.
Also the engine we use at work renders alpha shadows realtime without much trouble, if you can have depth sorting with alpha, you can have shadows..
And depth sorting requires additional buffers and more passes, which is costy.
Also: sorry, I missread D3ads' comment. I thought he was referring to translucency. UE3 can do static soft shadows, hard stencil shadows and sampled (=soft) stencil shadows iirc.