I know soft shadows are not supported by the UILabel out of the box, on the iPhone. So what would be the best way to implement my own one?
EDIT:
Subclass UILabel, as stated, then, in drawRect:, do [self drawTextInRect:rect]; to get the text drawn into the current context. Once it is in there, you can start working with it by adding filters and whatnot. If you want to make a drop shadow with what you just drew into the context, you should be able to use:
CGContextSetShadowWithColor()
Look that function up in the docs to learn how to use it.