This effect works best on darker backgrounds, so start a new document and fill the background with a dark color, I filled mine with a gradient navy->black.

This effect works best on BOLD fonts, so set your font style to "Arial Black" and type your text.

Now we just apply the following layer styles to this text layer: (Layer->Layer Style:)

Gradient Overlay | Inner Shadow | Outer Glow | Bevel and Emboss | Stroke

DOWNLOAD PSD FILE