This was a quick experiment, where I played with a couple spot lights and some geometry to block the lights. Blender made this very easy using the Wireframe modifier on the mesh, to quickly generate holes in a subdivided plane to use as a gobo.
In this version, I didn’t modify the plane beyond subdividing it in edit mode. I also experimented with mixing in a displacement modifier for different irregular shadows, but ultimately I liked the geometric effect and the way the colors overlapped without any displacement.