Here's fairly easy yet not-so-obvious process... Drop shadows.
Start with the text you want to add a shadow to (see figure 2.1)
figure 2.1
In the layers palette drag the text layer to add layer icon. It's the one circled in red in figure 2.2.
figure 2.2
Click this layer to make it active. CTRL-click (Command-click on a Mac, I believe) to select the text. Change to the default (black foreground/white background) colors by clicking on the small black and white squares below and to the left of the foreground/background color swatches. Use ALT-Backspace to fill the text with black. Make sure that Preserve Transparency is off in the layer palette.
Note: Many filters won't work with the Preserve Transparency option turned on
Choose Filters, Blur, Gaussian Blur and enter a value that gives you the blur you want. I used 3.0.
The shadow layer should resemble figure 2.3.
figure 2.3
In the layers palette drag the shadow layer below the text layer. Make sure the shadow layer is active and, on the image, hold down the CTRL key and use the mouse to position the shadow where you want it. My final image (with a Inner Bevel for the text) looks like figure 2.4.