With the solution I've got, you can have as many colored lights in any shape as you like within reason - they only start costing a lot when they overlap in screen space. Each light is a sprite, and it properly illuminates other sprites.
It works on iPad2 and above and all GLES2 hardware, but the final version will have a workaround for GLES1 hardware, losing colored lights in the process. You need Unity Pro for colored lights on any hardware, but the fallback monochrome light mode will work on any hardware.
The GLES2 path works now, but the fallback system remains to be done. I'll post on this forum when I have that done.