This tutorial will show you, in a few easy steps, how to create a simple but classic line shadow for text. Created in Illustrator CS6 but easily duplicated in earlier versions.
1. Choose a font, type a word
Create a new document with pixels or points as the unit of measurement. Find a suitable font you want to shadow and type out a word or two. This effect works best on big letters so be generous with your font size. I used the font Ballpark Weiner, set at 220 pixels, available for free from dafont.com.
2. Outline and combine
With the text selected, go to Type > Create Outlines. This converts the editable text into shape objects. If you spot a spelling mistake at this stage, undo or start over again.
To minimize surprises in upcoming steps, combine all of the individual letter shapes into one object. Do this by selecting your word and clicking the Unite command on the Pathfinder panel.
3. Apply the stroke
Since the text is on a white background, I'm going to apply a white stroke to my text object. I'm using a value of 3 pixels. Be sure to set the Align Stroke option to Align Stroke to Outside. I've enabled the Transparency Grid (View > Show Transparency Grid) for clarity.
4. Make a layer copy
Make a copy of the layer the text is on. Select the layer and choose "Duplicate Layer 1" from the panel's option menu.
Lock this new layer and disable its visibility so that you can focus on the original layer.
5. Recolor the original text object
Return to Layer 1. Here's where you pick your shadow color. Black, gray, or another color that contrasts with the white background; the choice is yours. I'll stick with black for now. Be sure to apply the same color to the stroke and the fill.
6. Manually offset the original text object
Select the shaded text object and press the Down arrow key on your keyboard 2 or 3 times. Do the same with the Right arrow key. Enable visibility on the copied layer. You should get similar results to those shown and that's all there is to this.
7. Observations and customizations
In Step 2, I combined the individual letter shapes into one shape. Had I not, here's how things would have turned out. Note the funkiness where individual letters connect.
If you'd like to save the trouble of coloring the fill color and the stroke color of the shaded text object, select the object and go to Object > Expand Appearance then click the Unite command not the Pathfinder panel. No more stroke; just a fill color to update.
The following departs from the simplicity of a line shadow but offers up a nice text treatment. Apply a drop shadow effect to the shadow object to provide some dimensionality to the text.