On the engine front, I can see right off the bat that they’re using some canned shaders that come with Ogre, specifically the depth shadow mapping shader, and probably also the default normal-mapping shader. More particularly, they’re using texture shadows, probably with no more than a 1024×1024 shadow buffer, with PCF (which produces the odd-looking half-as-dark edges around the existing shadows) turned on.

The screenshot here: http://www.jeuxvideo.com/images/pc/v/e/venetica-pc-158.jpg shows the shadows’ nature especially strongly, and having just started messing with that very same shader, I can tell you that’s probably what they’re doing.

I think a lot of the problem, though, comes from using primary-colored lights. These never look good – ever. It’s the same situation as we had in the mid-’90s – lots of developers putting blue, green, and purple lights in their games… it looks cheesy and plasticky, especially when combined with human skin (a tricky proposition at the best of times, with its unique translucency) which just looks wrong under anything but the red-yellow-white spectrum. (For reference, here’s a green-lit screenshot: http://static.gamesradar.com/images/mb/GamesRadar/us/Games/V/Venetica/Bulk%20Viewers/PC_360/2008-05-27/Venetica_003–screenshot.jpg)
As another note, the latter screenshot appears to be using stencil shadows. Probably these are turned on in indoors situations where more localized lights (and more lights) make rendering texture shadows rather memory-inefficient.