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While you can vary Bxdfs, transforms, light linking, and attributes per instance, there are some things that cannot be varied.   Parameters under the "primvars" group in PrmanObjectStatements are things that cannot vary per instance.  Displacement also cannot vary across instances because it changes the representation of the geometry master in the renderer.  For a more in-depth discussion about instancing, please read the Instancing in RenderMan documentation.  It provides some great background information as well as the full list of what can vary across instances.

Instancing lights

Lights can be instanced with the methods described above or using Light Arrays.  There are a few more restrictions on instancing lights than on instancing geometry.  Light shader parameters cannot vary per instance.  Similarly, PxrPortalLight and PxrEnvDay light cannot be instanced.  Another thing to consider is that If you want to instance lights with light filters, do not use the leaf-level instancing approach, as this approach doesn't allow for instancing hierarchies.