Hi!
I created a CCLabelTTF subclass that supports shadows with blur. I made it based on this article: http://majicjungle.com/blog/191/
I tweaked a few things to display the texture in the appropriate size.
Here's an example of some labels with drop shadows:

Check the source: https://github.com/jandrad/CCLabelFX
Don't forget to read the README. Suggestions and corrections are always welcome. I hope you find it useful.