Stephen, I do not believe this is possible.
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This is possible, for example using a calculated field you put the carriage return/line feed into the quoted string:
IF [Category] = "Office Supplies" THEN
Note that in Tableau v7, when you do this in a tooltip things get wonky with line spacing. I don't know if this was fixed in Tableau 8 or not.
Just came across this - thanks! Really helpful.