The following macro gives a nice looking shadow in Excel 2003:
Dim s As Shape
Set s = Sheet1.Shapes.AddShape(msoShapeRectangle, 20, 20, 90, 90)
s.Fill.Visible = msoFalse
s.Shadow.Type = msoShadow6
s.Shadow.Visible = msoTrue
s.Shadow.Obscured = msoTrue

If you do it in Excel 2007 it looks like crap. To me it looks like the
Obscured property is just ignored in Office 2007. Why would that be?
According to this link, it should work:
http://msdn2.microsoft.com/en-us/library/bb225654.aspx

I'm sure someone tested this before they released Office, so what is the deal?