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:
As of iOS 5 Apple provides a private api method to create labels with soft shadows. The labels are very fast: I'm using dozens at the same time in a series of transparent views and there is no slowdown in scrolling animation.
This is only useful for non-App Store apps (obviously) and you need the header file.
$SBBulletinBlurredShadowLabel = NSClassFromString("SBBulletinBlurredShadowLabel");
CGRect frame = CGRectZero;
SBBulletinBlurredShadowLabel *label = [[[$SBBulletinBlurredShadowLabel alloc] initWithFrame:frame] autorelease];
label.backgroundColor = [UIColor clearColor];
label.textColor = [UIColor whiteColor];
label.font = [UIFont boldSystemFontOfSize:12];
label.text = @"I am a label with a soft shadow!";
[label sizeToFit];