Raised letters are easiest, rectangle raised 0.5mm or so (is a couple of layers), then "3D text" raised 0.5 or 1 mm (depending on how big you want it).  For a really cool effect, when you slice, find the layer where the text starts, and put an @pause in.  When the print pauses, drop the bed 40mm, change to a different filament, extrude 30mm or so (on an E3D) - being careful not to move the extruder head - clear away the colour change and continue the print.  You end up with contrasting lettering (extremely cool).  Doing the same trick with recessed lettering gives you a sign you can backlight to good effect.

Recessed letters are a bit of a bugger to get working, but search the threads here, there is a good work-through on making it happen.  Is quite fiddly, but very cool.