As of 3.2 there is direct support for shadows in the SDK.
label.layer.shadowColor = [label.textColor CGColor];
label.layer.shadowOffset = CGSizeMake(0.0, 0.0);
#import <QuartzCore/QuartzCore.h> and play with some parameters:
label.layer.shadowRadius = 3.0;
label.layer.shadowOpacity = 0.5;
And, if you find your shadow clipped by the label bounds:
label.layer.masksToBounds = NO;
finally set
label.layer.shouldRasterize = YES;