The concept of depth is easily defined through playing with light and dark colors. Here's an easy way.

1. Gradient

Start off with a new document. Then select the Gradient Tool and select a medium gray color as your foreground, and a dark gray color as your background. Then select the Radial Gradient Tool from the options bar. Make a gradient from the top left to to the bottom right like so:

2. Type

Make a New Layer. Make your type or whatever you want. It doesn't matter what color. This is mine:

3. Gradient

Make a New Layer. Then make a selection around the layer with your type (Ctrl+Click+Layer). Select a light gray color as your foreground color and a medium gray color as your background color. Drag a gradient from the top left of the type to the bottom right.

4. Shadow

Now, select the gradient layer. Hold down Ctrl+Alt and nudge the selection left five times. The Ctrl+Alt makes it that it would make a new layer every nudge. When you're done, it should look like this:

5. Merge Layers

Merge all the layer copies, but leave the original layer, and then drag the merged layer below the original. Then, go to Image>Adjustments>Brightness/Contrast. Drag the contrast bar all the way to 0. Finally, go to Image>Adjustments>Hue/Saturation (Ctrl+U). Drag the Lightness slider up until it's a dark gray. here's what I mean:

6. Drop Shadow

Finally, select the newly lightened layer, and under the layers palette, go to Blending Options. Check Drop Shadow, leave the default settings, and you're done!

Final Thoughts:

You can change the direction of light by adjusting where the gradient starts. Try different things with this. Good luck =)