In Preview you can draw shapes.
You can add a drop shadow to these shapes.
However, I can't seem to figure out how to make the drop shadow larger.
On the scale of the image I am annotating, the drop shadow just looks like a tiny black border.
Preview doesn't support this.
I solved it by drawing a square inside of a fully transparent image, adding the drop shadow, saving it, closing it, reopening it, then rotating and resizing the drop shadow until it fit my needs and copy/pasting it into my original document.