Engraving and embossing are just more effects that can add the element of depth. Engraving is what they do to trophies - it is “cut” into the background. Embossing is the reverse where the element is “raised” up from the background. It’s basically just another shadowing effect.

no effect

engraved using an appropriate font

engraved using font that doesn’t work quite so well

no effect

embossed using an appropriate font

embossed using a font that doesn’t work quite so well

You will probably need to do a lot of experimenting with this effect to find how it works best for you. For text, I’m a big fan of engraving as I think it adds richness. I’ll use embossing sometimes for objects (like the money bag on the header of this page). These two effects are really useful for creating rollover buttons that give the effect of motion. Example is the navigation element for this site that appears in the top margin.