You can adjust Highlights and Shadows both locally through either the Graduated Filter tool or the Adjustment Brush tool.
Of course you can adjust them globally as well.
I was once told that any adjustment would effect the whole image and not just a selected area.
That was true in Lr1, but @Lr2, many but not all adjustments can be applied locally.
Lr4 added highlights & shadows locals.
Lr5 (currently in beta) adds radial filter for confinining adjustments to the feathered interior (or exterior) of an elipse.