The lighting effect way:

Write the text with the text tool and then render/rasterize the text layer. Hold Ctrl at the same time as you click the layer in the Layers palette so the content will be selected. Add a new layer, and fill the the selection with 50% grey(Edit/fill)

Apply the Gaussian blur filter with 3-4 pixels. Then go to Filters/Render/lighting effects and use the setting here below. Remember to select Layer 1 Transparency in the Texture channel box.

Now, merge the black layer and the grey together and use Image/Adjust/Hue-Sturation to colorize the text.

And it will look something like this

The  Layer effect way.

Write the text with the text tool and go to Layers/Layer effects and select bevel and emboss. Use the default settings and you're done!

The KPT 5 way

For this one you'll need KPT 5.

Write the text with the text tool and select the text by holding Ctrl at the same time as you click the layer in the Layers palette. Rasterize/render the layer. Select Filters/KPT 5/Shapeshifter and use the default settings. You may want to deselect the dropshadow in the Shapeshifter.

This is how it will look.