If you want your pictures to be more than just swirling lights, but to also have a bit of shading in softer and darker colors, then look for a subject where the principle lights are reflected in some fashion.
The reflections can be in water such as in a stream or in puddles after a rain. The reflections can also be found in the shiny surfaces of metal or glass or polished marble, all of which are found in major cities.
The beauty of reflections is that they are the same color as the principle lights but will always be darker and generally less sharp. These two qualities provide the perfect combination for shading the principle colored lights which will generally appear as sharp lines.
The reflections in the water of the Duke Marine Lab in Beaufort, NC work to shade the resulting light painting photograph which is next.
This photo was taken at the same place and about the same time as the next following photograph. Quick movement rendered the lights as lines with little shading.
Moving the camera more slowly while adjusting the exposure accordingly allowed me to pick up a lot of 'shading' from these points of light that were also reflected in water (and which provided the shading).
Rain adds shading to an otherwise normal shot of lights from a car as it moves down the highway.