Sometimes a labeled break or continue can make code a lot more readable.
OUTERLOOP: for ( ;/*stuff*/; ) {
//...lots of code
if ( isEnough() ) break
The convention I've most seen is simply camel case, like a method name...
myLabel:
but I've also seen labels prefixed with an underscore
_myLabel:
or with lab...
labSomething:
You can probably sense though from the other answers that you'll be hard-pushed to find a coding standard that says anything other than 'Don't use labels'. The answer then I guess is that you should use whatever style makes sense to you, as long as it's consistent.