Create a new image and create a new layer (name it shape). Select the text marquee tool and type the text you want (I used text in this example but this tip works with any shape or forms).
Fill it with any color or texture you want your text to be. Don't deselect your marquee selection and create a new layer (name it shadow).
Fill it with the color you want the shadow to be (I choosed dark grey for this example). Now drag layer shadow below the layer shape so the shadow appear behind the shape of your text.
Go to Filter-Blur-Gaussian blur (I choosed radius 4.7 for this example). Select the move tool and move your shadow wherever you want your shadow to be (use the keyboard to move your shadow). I moved it 4 pixels right and 2 pixels down.
Please rate this tip below. 1 represents poor and 10 is excellent.