There are quite a few effects in the image you linked to.
First, it looks like the text is filled with an image (which could be a pattern or gradient). There are many tutorials on how to do this. Here are a couple:
Next look at the effects available in the Blending Options that you can apply to a layer, including Stroke, drop shadow, perhaps a glow. Here's a tutorial on blending options with text.
My advise is to just experiment with the different options to see what they can do and meet your needs.
Well done Daved. Glad I could help.