This isn't possible in Cycles just yet; You will need to move those objects to a different Render Layer. However it is possible on Blender Internal, using one of these methods:
Materials
By default, materials are lit by all lamps in all visible layers, but a material (and thus all objects using that material) can be limited to a single group of lamps. To enable this, navigate to the Material menu's Options panel and select a group of lamps in the Light Group field. Note that a light group must be created first.
If the Exclusive button is enabled, lights in the specified group will only affect objects with this material.
Render Layers
You can also use RenderLayers. If a light group name is selected in this Light field, the scene will be lit exclusively by lamps in the specified group.
Check the relevant wiki page.