This appears to be a bug in the windows version of Unity. You can't manually type a return character into an inspector text field, and \n doesn't work.

The only workaround for this is to copy and paste a return character (for example, from notepad).

You can also create a custom inspector that uses a TextArea, rather than a TextField, for the string in question.

Picked up Molix idea :

using UnityEngine;
using System.Collections;
using UnityEditor;

[CustomEditor(typeof(TextMesh))]
public class TextEditor : Editor {
    public override void OnInspectorGUI () {    
        this.DrawDefaultInspector();    
        TextMesh current_target = target as TextMesh;

        EditorGUILayout.LabelField("   Text:", "");

        current_target.text = EditorGUILayout.TextArea( current_target.text,GUILayout.MaxHeight(500f));     
    }
}

Not sure if this question is still alive, but I found another workaround to put a newline into a string in the inspector:

function Start () {
    stringname = stringname.Replace("NEWLINE","\n");
}

Just place NEWLINE in your string, or replace the NEWLINE in the script with something else.