To have a really nice drop shadow on a purely transparent background is near enough as impossible; this is because the drop shadow, and similar effects, use 'partial transparency' to blend into the layer below. When you then export this to a gif, with a transparent background, teh partial transparency is lost. Hence it looks rather dodgy. This also applies to the anti-aliasing that you get from air-brushes, etc. The best way is to decide on the background colour for your overall image and export your text, with dropped shadow, on this colour.
However, if you must have it transparent, you can make it look slightly better by reducing the 'spread' of the drop shadow; this makes it look square/blocky at the edges but this removes the anti-alias problem.
Anyway, hope this is useful and I understood what you were asking.
=)
PetitPal