Step 1: Open up Adobe Illustrator and create a blank document of any size.  With the text tool, write some text in a bold typeface and a solid visual colour.  Typefaces with strong edges and flat bases always work best for shadows, and script-style fonts usually end up with disappointing results.  After you are finished, select your text with the selection tool.

Step 2: Pick out the Reflect Tool, hold down ALT on the keyboard and click on the light blue line at the bottom of your type object (i.e. the line on which your text should be sitting, NOT the line of the bounding box below that).  In the dialog box that appears, choose Horizontal, 0¡ã, and click on the Copy button.  You should now have a reflected text object directly below your original text object.  If your reflection is not lined up like mine, now is the best time to adjust it accordingly.   After you are finished, select the reflected text object with your selection tool and run Type > Create Outlines from the main menu.  This breaks apart the object into individual vectors, and is necessary to complete the next step.

NB.   Please note that if you are using a Mac, you will hold down the OPTION key instead of the ALT key wherever it is mentioned during this tutorial.

Step 3: Now for the difficult bit.  Get your Free Transform Tool, click on a bottom corner, then without letting go or moving your mouse, hold down CTRL+SHIFT+ALT on the keyboard.  Now drag out the mouse horizontally to create your perspective.   This takes a little practice, as well as nimble fingers!

Step 4: Load up the Gradient Palette (F9), ensure Linear is selected, as well as a -90¡ã angle, and a black to white gradient. Now select your reflection properly with the selection tool, and drag a vertical gradient across the selected text using the Gradient Tool.

Step 5: And there you have it - a perspective drop shadow!   Minor adjustments to the gradient are easy at this stage, and can include lowering the opacity, or adding a little more skew to the shadow using the free transform tool and the direct select tool.

Variations: Adobe Illustrator has a vast wealth of filters to help you individualize your perspective shadows.  In my example below I have simply applied Effect > Distort & Transform > Roughen, fiddled with the gradient, altered the blending mode, and lowered the opacity to obtain a simple water-reflected effect.  The possibilities are quite endless and only limited by your imagination and willingness to fiddle around with the thousands of different settings and features that Illustrator provides.  Have fun!  ;)