A label makes it easy for users to identify a partition. This is especially necessary if you deal with a lot of partitions. Technically, not all partitions can be labeled. This is because a label is a feature of the filesystem and not all filesystems might support it.
I find that using GParted is the easiest way to label a partition. Open it, right-click the partition you want in the list and choose Label. Note that you may have to unmount the partition before you label.
Tried with: GParted 0.11.0 and Ubuntu 12.04 LTS