You can set the value of the Effect property for any control deriving from UIElement. An effect is a two-dimensional graphical effect applied to the control when it is rendered.
To apply an effect to a control in Blend, start by left-clicking on the Effects folder in the Assets panel.

The .NET Framework comes with two pre-defined effects, located in PresentationCore–BlurEffect and DropShadowEffect. (The other effects shown above come from the Expression SDK for .NET 4). You can drag either of these effects onto a control on the artboard, or a control listed in the Objects and Timeline panel.
Two Label controls, before adding effects:

After adding effects:

Corresponding XAML:
<Label Content="Drop Shadow Effect" FontFamily="Cooper Black" FontSize="48"
Margin="20,20,20,5" Foreground="#FF047800" HorizontalAlignment="Center">
<Label.Effect>
<DropShadowEffect/>
</Label.Effect>
</Label>
<Label Content="Blur Effect" FontFamily="Cooper Black" FontSize="48"
Margin="20,5,20,20" Foreground="#FF047800" HorizontalAlignment="Center">
<Label.Effect>
<BlurEffect/>
</Label.Effect>
</Label>