Baking lighting on static meshes is a little more versatile than on CSG geo. By default, all static meshes use vertex lighting—instead of baking into an image, light values get baked into the vertices that make up the geometry, and lighting is blended across the surface.
In my map, there's a kind of a weird hard shadow near the top of the fire hydrant.
If I overlay the wireframe on the image (Photo-shopped for clarity), you can see that the shadow falls right along one of the mesh's edges. That's effectively the result you get from vertex lighting.
But lots of meshes in UDK are set up so that you can put a lightmap on them too, and this fire hydrant is one of them. Open up the mesh in the generic browser and look at the LightMapCoordinateIndex value. If it's 1, then the mesh is probably set up for lightmaps, otherwise it probably isn't.
So how do we actually turn on the lightmap?
Close the Static Mesh Editor, select the fire hydrant in the scene, and...