Well, as a warning and a caveat: I’m no expert and I’m still learning this stuff myself -
I guess some things to think about are:
Drama & Story: The lighting can add a lot of information to your image and design - which when combined effectively with the information in your design, can really help push or sell your character/idea. Amount of light, contrast, color, direction etc can create all sorts of moods and settings scenarios. It can help create a sense of story, even if it’s just implied for the viewer to interpret. Nighttime, daylight, morning, evening, desert, jungle, underground, studio, overcast etc. The lighting can or will kind of help put your character in a context to be better understood and interpreted.
Visual Read: Another thing to think about is the range of values in your image, and how you lay out or design those values (i.e. shadow shapes) to help lead the viewer to what’s important. Utilizing contrast to help create focal areas. So thinking in a more graphic design sense, how are the overall shapes, colors and values working together to create a sense of whatever the mood or theme is, sell your idea, and lead the viewers eye.
Also, realism perhaps isn’t your number one priority in creating a compelling image/render. It can help, and I am always trying to striving for realism as well, but if you’re nailing realistic surfaces and lighting, but dropping the ball on the above mentioned points, it’ll still be a flat, not very interesting image, right?
As for resources etc: I’m currently taking Bryan Wynia’s online creature sculpting workshops, and they are great. I definitely have taken my game up a notch or two in the last coupe months, so I would recommend his classes. Covers lots of things, but texturing and lighting and creating a final rendered image is part of the class.
Some good books would be:
http://www.amazon.com/Framed-Ink-Drawing-Composition-Storytellers/dp/1933492953
http://www.amazon.com/Color-Light-Guide-Realist-Painter/dp/0740797719/ref=sr_1_1?s=books&ie=UTF8&qid=1336574002&sr=1-1
and a recent Gnomon video:
http://www.thegnomonworkshop.com/store/product/981/
And a good online tutorial to read while you wait for your books to arrive
http://www.itchy-animation.co.uk/light.htm
That’s my understanding of the subject thus far anyway… Hope that helps.