Gimp allows some easy text effects and more complicated text effects.  I will show a couple simple ones and refer you to some other websites for the complicated.

First make sure your text is highlited like this:

Now lets apply a drop shadow using the Script-FU feature.

Another easy effect is the gradient effect.  Again, start with the text highlighted. If it isn't, the easy way to highlight it is to select it in the layers dialog.  Now select the foreground and background colors in the gimp dialog. The gradient will start at one color and fade to the other color. Select the gradient tool from the menu.

Click at one spot on the image and pull the cursor toward the other end of the image.  This will create the gradient line, showing the direction the fade from one color to the other will follow, like this:

(The gradient has already been applied, this just shows the end result, with the gradient line on top.)

The end result:

These are some easy text effects.  If you want to learn more advanced techniques, check out a 3d text in gimp tutorial, or Golden Text

Of course if you really want to know more, check out the official gimp manual.