Sure, you can add depth. Here are the steps.

Insert | Word Art. Select the first style option (Fill - Text 2, Outline -
Background 2. I think you can use any, but at least this will ensure we're
on the same page.)

Type 3-D Text Sample.

With the text selected, on the Drawing Tools Format tab, in the WordArt
Styles chunk, click Text Effects | 3-D Rotation | Perspective Relaxed.

Then click the dialog launcher in the WordArt Styles chunk. (It's a small
little square in the lower right corner of the WordArt Styles chunk on the
Ribbon.) This launches the Format Text Effects dialog box. Alternatively,
select the text inside the textbox, then right-click and choose Format Text
Effects. This also launches the Format Text Effects dialog box.

Click on 3-D Format on the left side of the dialog box.

Click the arrows in the Depth section to increase the depth. Or just type in
a number. 15 or 20 or so will show you a nice depth so you can see what's
going on.

You can also change the depth color, the countour thickness and color, and
the bevel settings and surface "material" and lighting here.

Click 3-D Rotation on the left of the dialog box, and you will have more
control over the rotation. Also, if you click "keep text flat" here, it will
remove any depth you added as described above.

In addition, you can apply these effects to regular text -- you don't have
to actually use WordArt. You can also skip applying a 3-D text effect to
begin. Instead, just type some text in a textbox, go to the Drawing Tools
Format tab, and click the WordArt Styles dialog launcher. You can even start
by choosing a style there -- or add your own text fill and/or outline to
begin. Then, in the Format Text Effects dialog box, apply the 3-D settings
you want. I just usually find it easier to start with one of the presets so
I have at least a little something to work with.

Holler back if you need more info.