sivan, it is mostly about the improved split calculation and nobody stops you from using the exact same shadow code in your object shaders. A depth prepass might also be a good idea, or just render depth, normals and textures and everything else you need into multiple render targets and do some deferred shading. There are pros and cons to everything, a deferred approach (or maybe even light prepass) might be the most performant with gamestudio though (with newer DirectX and OpenGL versions you can do some really nice stuff with reusing depth buffers and providing lots of data to shaders in a fast and comfortable way).

Ch40zzC0d3r, those issues are not really related to the shadow. ZNEAR renders an object in front of things while it really is behind. The only solution for that is to not use znear and solve the issue with weapons inside walls by not allowing the player to get that close to the wall, at least not in a way the weapon could pass through it.
Transparent things in general are problematic in real time rendering due to the way sorting is solved with a depth buffer. So if you happen to have some translucent entities that need to cast shadows, there are solution for it, but they tend to have some restrictions. Receiving shadows should be fine though?