Caution: GIMP freak alertnice. How do you make the words "shadow"?
Caution: GIMP freak alert
You can add a shadow to text by going to; Filters > Light and Shadow > Drop Shadow (although 'Xach-Effect' works too)
That might be different if you have an older version of GIMP, though.
You can also get the same kind of effect, if you 'blur' the back copy of the text. =)
Here's another way to make cool text. Type your text then right click the layer and hit duplicate layer. Select regions by color and make sure Feathering and aliasing are on. Make sure you pick a new color. Then hit Control comma. It looks like this when you're done.