Because materials react to lights, you need them to be on the scene. That’s why every new project comes with a default HDR Light (you can adjust it from the scene properties).
Changing the environments from the library resets the HDR light to preset values. A good illumination of your scene is sometimes enough to make your design stand out. Try to keep a low number of light sources (2-4) for a good performance.
You can drag and drop to the scene additional Light sources from the Lights library and individually adjust their properties.
The basic light types are: Directional, Point, Hemi, Spot, Tube and Rectangular light. The light sources are listed in the Objects library and visually represented as 3D objects on the scene.
Try to move them around and change their Z position. You should be able to see a shadow preview also when rendering is off.
Shadows are calculated depending on the setup of the light sources on the scene, including the HDR light. Note that they need a surface to be projected on to be rendered. Their properties can be adjusted in the general settings of your scene, in the scene properties panel. They can be individually turned off from the properties panel of their respective light sources.