Alright there's a bunch of ways to do this but here's how I might approach it in Photoshop (very rough / quick job)
Start with whatever font you want to use and give it some background color to help while working on it:
Now you're going to use an outer glow for the background. The key for that is to change the blend to either Darken or Multiply otherwise you won't see the black color (cause it defaults to screen)
What really sets that image apart though are the small interior shadows to enhance the curvature. There's a bunch of ways you could achieve this and honestly what I did probably isn't the best. I just grabbed the marquee tool. For better results you'd probably want to duplicate the text, rasterize it, then use the pen tool to create curves, select, inverse, delete so you're left with an exact duplicate. Anyhow for demonstration purposes Marquee works:
Again there's a few ways to do this but I used an oversized soft brush. Radial Gradient would probably work just as well. Straight gradient wouldn't give the same result.
Then I used an oversized eraser to soften the bottom
Lighten the opacity a bit
And finally on a white background (the only interior shadow I did was the demo piece inside the 'W')