The one featured on this logo is actually a font that's widely available for download. Just google "Super Mario font" and you'll find it easily. 
If you mean the effects on the logo, they're just a combination of the standard Photoshop layer effects, like "stroke," and "drop shadow."
I hope this helps. If you want to know about anything else in a bit more detail, feel free to ask. I'll gladly help in any way I can. 
I was curious about how you got the stroke to overlap the letters (like between the P and E in super) and to look so non-rounder at the corners. Did you do each letter on a seperate layer?
In all honesty, it's been so long that I cannot recall the exact process.
From what I can remember, though, I think the font was actually just the outline (seen in white). I believe I created all letters in separate layers so that I could fix any overlapping issues, and then added the colour to a background layer. After that, I added a 1 pixel stroke to the outline and a drop shadow to the colour.