If you can't get compiz to work on your machine, or you just to run a compositing window manager with shadows and true transparency without having to deal with hangs and memory leaks, you can run XFCE's window manager, xfwm4. It's possible to use xfwm4 as a drop-in replacement for the Metacity window manager in an existing GNOME desktop.
First, install the relevant XFCE packages:
$ sudo apt-get install xfwm4 xfce4-mcs-manager xfce4-mcs-plugins
Next, inside your running GNOME session:
$ pkill metacity && xfwm4
You may have to run this command a couple of times for it to 'take', since Metacity may be configured to autorestart, and/or xfwm4 may fail to start up because the X server hasn't fully unregistered metacity before xfwm4 tries to take over.
Once you have xfwm4 running, you can configure some eye candy using the XFCE settings program, xfce-setting-show. Click the Window Manager Tweaks button, select the Compositor tab, and check Enable display compositing. Once that's done, you can configure shadows and transparency to your heart's content.
Once you have everything set up the way you like it, you'll need to save your current GNOME session so that xfwm4 is launched the next time you log in. Close all other open programs, then ppen the GNOME session manager using System->Preferences->Sessions in the GNOME menu or by running the gnome-session-properties command. Select the Session Options tab, and click the Remember currently running applications button (Pre-Gutsy, the button is named Save current session).