You will need:
A gooseneck lamp (2 for advanced technique)
A stuffed animal
Paper, pencil(s)
Take your stuffed animal, and try drawing it, with the shading where you think it would go, if the light was right above it.
Now, put it under a gooseneck lamp, pointing directly down. Now draw the stuffed animal again, this time filling in the shading where you see it.
Now draw it again, with the proper shading, with the lamp in a different position, preferably above and to one side.
Try to see patterns, etc, of gradient light, but most importantly for manga-style drawing, cel-shading, and of course, pixel artists, is where the main divisions between shadow and light are. Also pay close attention to where highlights are. They are just as important a part of shading as shadows.
Experiment with distance and its effect on shadows, as well.
If you're feeling REALLY fancy, and have a second gooseneck lamp handy, use both lamps, in different positions, and try and see what the shading is like with two distinct light sources. Experiment with different distances of the these light sources also, perhaps one close, one more distant. Have fun.