The css property is box-shadow. It's a bit messy adding it in css, because a number of browsers support it only with browser specific extensions.
So, to add it on hover:
-moz-box-shadow:3px 3px 3px rgba(0,0,0,0.7);
-webkit-box-shadow:3px 3px 3px rgba(0,0,0,0.7);
box-shadow:3px 3px 3px rgba(0,0,0,0.7);
I should add that this is setting a 3px horizontal offset, a 3px vertical offset, a 3px blur distance, a black colour - rgba(0,0,0) - and 0.7 opacity. I used this as I think it's a nice effect. Obviously you can change to what you want.