Unity ships with a few Light Cookies in the Standard Assets. When the Standard Assets are imported to your project, they can be found in Standard Assets->Light Cookies. This page shows you how to create your own.
To create a light cookie for a spot light:
Paint a cookie texture in Photoshop. The image should be greyscale. White pixels means full lighting intensity, black pixels mean no lighting. The borders of the texture need to be completely black, otherwise the light will appear to leak outside of the spotlight.
In the Texture Inspector change the Texture Type to Cookie
Enable Alpha From Grayscale (this way you can make a grayscale cookie and Unity converts it to an alpha map automatically)
How do I make a Mesh Particle Emitter? (Legacy Particle System)