Shadeless means your object is not influenced by light sources in URU - and this is the main advantage, because you can "paint" the lighting of your object as you like it, either by using the vertex paint technique or by generating lightmaps. Once you have defined the lighting of your object this way, you can play with modifing the lamps (location/intensity) to get your avatar lit properly, without influencing your objects again. (It's the preferred method in URU to use lamps only for lighting your avatar).
By the way, when you create lightmaps, your object should be set to "shadeless OFF" temporarily - otherwise baking a lightmap will fail.
Plus, all objects which should create shadows on your object should be switched to shadbuf ON temporarily, because this forces them to create shadows for your lighmap on the baked object.
For lamps, I normally set up them this way:
1. I create lamps for lighting my avatar and set rendering OFF for them (the image icon in the outliner) - this way they are only exported to URU but are not used for lighmap baking
2. I create additional lamps for lighmap-baking and add a property "String, page_num, 12345" to them - this way they get not exported to URU, but are use for baking.
I hope this does not confuse you.
Oh, and - I took me hours... days... in fact, weeks to understand the priciples and to get it right. Don't give up, make a lot of tries and do some experiments with a little age to get a feeling about what happens when you play with the settings.
