This is a really simple effect that looks awesome with gradient/bright coloured/multi-coloured backgrounds! Anyways, in my example, I'll be using a mixture of all three:
Next, you're going to type your text onto your image. It can be whatever colour you want, because this is going to be your text colour. Just make sure it's a vector layer.
Click to enlarge.
Now that that's taken care of, we can start to create your shadow. Do this by pressing F8 to bring up your layers pallet, and press the icon circled in red on the image below to create a new vector layer. This will be our shadow layer. It's on a separate layer so we can move it after when we need to.
Select the new layer you just created by clickin on it, then retype your original text, only in black this time. Make sure everything else is the same, though.
Click to enlarge.
Move your shadow so it's a little offset, like shadows usually are. But the only problem is, shadows aren't ususally on top. So you'll need to drag your black text layer under your regular text layer. Once you're done, it'll look something like this:
Click to enlarge.
That's starting to look more shadowy, right? But it doesn't exactly look cool. You'll need to play around with your blend modes to do that. Beside your black text vector layer, it says 'Normal'. That's where you go to change your blend modes. For my example, I found that 'Overlay' looked best, but you can experiment with yours and find out what looks right to you.
Click to enlarge.
And there you have it. A shadow effect that comes out different every time. But don't limit yourself to just overlay. Try lots of different blend modes out, and while you're at it, you might as well try different shadow colours, as well! Who knows what awesome effects you'll come up with!! This is what my finished shadow looks like:
BONUS EFFECT
Shadows usually aren't exactly like what made them. They're usually a little blurry, right? Then let's take this to the next level and blur your shadow!
Right click on your black text vector layer, and go to 'Convert to Raster Layer', like this:
Click to enlarge.
Keep that layer selected, and go to Adjust>Blur>Gaussian Blur.
Set your radius to 3 (or more, depending on how much of a blur you want), and click ok!
And there, you now have a blurred shadow. Mine turned out like this:
