Light Linking
You can exclude lights from an object in the Object Properties window (Lights Tab, see image on the left) or exclude objects from a light in the Light Properties window (Objects Tab, see image on the right)
Clicking in the heading (where it says "Exclude | Object" or "Exclude | Light" brings up a menu with tho following handy options: Select All - Clear All - Invert Selection.
Shadow Casting / Receiving
You can choose whether an object receives shadows from other objects, casts shadows on other objects or self shadows, in the Object Properties window - Render Tab.
Please note that these options only affects Ray Traced shadows! Don't ask me why...