First is a simple drop shadow. In GIMP, this is under filters, and in Photoshop, it's found in the Layer Effects panel. Here is a screenshot of TheZ3ro's site header before a drop shadow:
|Text that reads "the blog of Diego Segura" does have a drop shadow.|
The original drop shadow was sloppily erased for this demonstration.
Shadow radius: 15
|The blue looks out of place with this color scheme, but is a good way to get distinct text.|
Hopefully this helped you find new techniques in Photoshop/GIMP, and makes your designs look better. Pass this on to any of your fellow designers that might find this post useful!