Nocturne has an option for disabling shadows around windows. But it's only available in night mode, and changing the mode (like when opening the application) causes an annoying screen flash animation. There's no way to disable the shadow under the menu bar either.
MacThemes Forum / Removing the menubar dropshadow has a link to a .psd for making special desktop backgrounds that cancel out the shadow under the menu bar. But it only works if that area of the desktop picture has a low enough brightness.
Some applications that cover the desktop (like DeskShade) also cover the menu bar's shadow. That's not a real solution though.
Unsanity's ShadowKiller stopped working in either 10.5 or 10.6. (It does still work on 10.7.2, but the website says "NOT compatible with Mac OS X 10.6 Leopard", and I couldn't get it to work on a 10.6 installation.)