The Extrude modifier adds depth to a shape object and makes it a parametric object.
Modify panel > Modifier List > Object-Space Modifiers > Extrude
Above: Spline before extrusion
Below left: Extruded spline with Cap End off
Below right: Extruded spline with Cap End on

Sets the depth of the extrusion.
Specifies the number of segments that will be created in the extruded object.
Generates a flat surface over the start of the extruded object.
Generates a flat surface over the end of the extruded object.
When Mesh is selected as the Output, the Extrude modifier includes a Gizmo option that controls the direction of extrusion for Splines.

This screenshot shows the Extrude Direction with the Gizmo active.
By default, extrusion occurs along the object's local Z axis. Enabling the Gizmo allows you to:
When the Rotate transform tool is active, a manipulator appears for the Gizmo, allowing you to adjust the extrusion direction interactively (as shown below). This lets you set the desired orientation directly without rotating the original object.

Applies mapping coordinates to the extruded object. Default=off.
When on, Generate Mapping Coordinates applies separate mapping coordinates to the end caps, placing a single 1 x 1 tile on each cap.
Controls the scaling method used for texture mapped materials that are applied to the object. The scaling values are controlled by the Use Real-World Scale settings found in the applied material's Coordinates rollout. Default=on.
Assigns different material IDs to the sides and the caps of the extruded object. Specifically, the sides receive ID 3, and the caps receive IDs 1 and 2.
This checkbox is turned on as a default when you create an extruded object, but if you load an extruded object from a MAX file, the checkbox is turned off, maintaining the same material ID assignment for that object as it had in R1.x.
Uses the material ID values assigned to segments in the spline you extruded, or curve sub-objects in the NURBS curve you extruded.
Applies smoothing to the extruded shape.