There’s so many things you can do with the CSS, the Customizer would be a mess if I included them all.
The CSS you’re looking for is text-shadow: https://css-tricks.com/almanac/properties/t/text-shadow/
So the part you need to figure out is the selector.
Site title: .main-title
Menu items: .main-navigation li a
Heading 1: h1
Heading 2: h2
If you need help with a specific elements, let me know 🙂