Well, you can just take the light entity position and use that as origin for the radial blur, so you don't need to blur bright on-screen pixels a la bloom to get the effect. It's just less cheap that way.
A cool compiler trick for Quake might be something that builds a shadow volume during build and does some texture magic to avoid hard edges. Could then simply (cough) be rendered as an additive mesh ingame. Of course it wouldn't be truly volumetric.
Another way I've seen them done is by billboards (taking slices along the length, bit like the shadow volume concept) and particle systems (point sprites scaling up in a cone like structure).
The scientific term for them is "crepuscular rays" by the way, if you feel like Googling.
Team Blur has also added them to their engine.
http://www.moddb.com/games/overdose/videos/overdose-vidoc-light-shafts#imagebox