In Unreal Engine 4, there are a number of ways to add lights to a scene and there are a few key properties that have the greatest impact on lighting in the world.
Placing Lights
There are a number of ways to place lights in the scene:
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Drag one in from the Modes panel in Place Mode.
Under the Lights tab of the Modes menu, left click on a light then drag-and-drop the light in your level
You could also add a light directly from the Level Viewport window.
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Right Click in the viewport, select Place Actor, then select a light:
Once a light is added, you can then adjust the position and rotation of the light using the position (W) and rotation (E) widgets like any other object.

Lights are represented by these sprites in the editor. From left to right they are: Point Light, Spot Light, and Directional Light.

Intensity

Intensity determines how much energy the light outputs into the scene.
For Point Lights or Spot Lights, this is in units of lumens, where 1700 lumens corresponds to a 100W lightbulb.
Light Color

Light Color will adjust the color of the light and the sprite that represents the light in the editor will change its color to match.

Attenuation Radius
The Attenuation Radius of the light does a few major things:
- Sets the reach of the light.
- Defines what objects it will affect.
- Serves as the outer bounds when calculating the falloff of the light.

Attenuation Radius values set above from left to right: 200, 400 and 800.
Light Attenuation Radius can have a serious impact on performance, so use larger radius values sparingly.
Source Radius and Length

Source Radius and Source Length deserve a special mention as they are what define the size of specular highlights on surfaces.

If you want to subdue this effect, check out the Specular Scale property on the light.

Specular Scale values of 0.3, 0.2, and 0.1
One last effect they have is in Lightmass when rendering lightmaps. Larger radius lights cast softer shadows (like area lights in most major 3D authoring packages). Since this is being processed by Lightmass, only Static lights will gain the effect.

The red light has a Source Radius of 0, while the green light has a Source Radius of 150; note the soft shadows the green light casts.