I haven’t read through all the replies here, but I did implement volume rendering in UE for our VR experience, Allumette. I wrote a shader that ray marched some voxel grids I exported from Houdini. I baked in the lighting, so there are no shadow rays to march, which made it feasible. The cloudscape was really really big so I had to use some tricks with empty space traversal in order to get it running at framerate with a reasonable number of steps. I presented this at DigiPro this year:
http://dl.acm.org/citation.cfm?id=2947699
If you can’t get access to that paper, send me a message, and I can try to get you a preprint of the paper.
Also, if you are interested in volume rendering as a topic, I recommend checking out some of the notes from these SIGGRAPH courses (I helped out the first year in 2010).
http://magnuswrenninge.com/productionvolumerendering
Also, Magnus Wrenninge (who helped organized those courses) wrote a book on volume rendering that has a ton of good info: