Q:

How to achieve advanced lighting in my scene

I have this scene
I have sun lamps but I don't know how to achieve advanced lighting in my scene, my lamps just contain yellow light.
And this is what it looks like when scene has hdr and also volumetric light.
Is there any further tehnics to make it better.

A:

In addition to using an HDRI, try adding a mist and/or Z pass, and then compositing in some color to the value in the compositor. Remember that you can use the color ramp with multiple points assigning multiple colors, so you can get some pretty neat effects. These colors can add or lessen brightness.
I am not sure this is a complete answer, but I could not post this screen shot as a comment. The sand below is not mine, but the acrocanthosaur is!

Regarding the lighting of the rocks -- mentioned in a later comment: You can use an object index pass to accomplish a lot of things, including light changes, focal issues and the like. Here is a good example and a node tree view:
Separate reflection based on object index cycles

