Both checks can be best left on.
Depth Test: if checked, when a mesh with the material is rendered, a per-pixel check is performed to determine if the pixel passes the engine’s depth test. By default, the test is that the pixel must have a z depth less than or equal to whatever is already in the depth buffer. In other words, the mesh is only visible if nothing is in front of it. If unchecked, the mesh is rendered regardless of what is already in the depth buffer.
Depth Write: If checked when a mesh with the material is rendered, its depth information is written to the depth buffer. This ensures that when subsequent meshes are rendered, they can be successfully depth tested against meshes rendered with this material.
In the lightmaps tab, you can add an AO map to create shadows or a lightmap to create highlights. For the maps, you can use a .jpg in 1024×1024 resolution. Use the intensity to change how strong the maps are shown.
Both maps can use the second UV set for repeating textures. For a full explanation about this go to Textures and UV’s