Another fantastic and highly useful particle feature in the Unreal Engine is the ability for CPU particles to emit light. By adding a Light module to your Emitter, particles from the Emitter can also spawn a dynamic light. You can use the module's properties to control the intensity of the light, the radius, etc.
Although you have the ability to control the percentage of particles that create their own lights (meaning you could have, say, only 50% of the particles actually create a light), this effect can get very expensive very fast. It is not uncommon to have a separate (duplicate) emitter that spawns a lot less particles and use the Light module on that one.