I do think this is real lighting, not a post-processing effect. I do some theatre lighting, and this reminds me of some of the effects we can achieve with our instruments.
One thing to keep in mind throughout the series of images is that all of the colors are complementary - purple/yellow, blue/orange, and in a couple cases red/blue/green - so they all add up to white light. With directional light sources, you would end up with fairly white lighting on the subject and background, and "subtracted" color showing up in the shadows (ie where your body blocks the blue light you see an orange shadow and vice versa.)
The fact that you also see the "subtracted" color in the body shading emphasizes that this done in-camera, as do the way the colors mix on the wall, and the shape of the shadow in image 3 (of the two men leaning on the wall.)
What the two images with 3 shadows (using red green and blue lights) really remind me of is going to Science Museums as a kid and seeing basically this same setup, where you can dance around and see your "rainbow shadow" move and change.
http://www.exploratorium.edu/snacks/...ows/index.html http://www.exo.net/~pauld/summer_ins...ploration.html http://www.sciencebuddies.org/scienc...hys_p035.shtml http://www.learner.org/teacherslab/s...ows/index.html