Sometimes a labeled break or continue can make code a lot more readable.
OUTERLOOP: for ( ;/*stuff*/; ) {
//...lots of code
if ( isEnough() ) break
As labels are so rarely useful, it appears, that there is no clear convention. The Java language specification has one example with labels and they are in non_cap.
But since they are so rare, in my opinion it is best, to think twice whether they are really the right tool.
And if they are the right tool, make them all caps so that other developers (or yourself later on) realize them as something unusual right away. (as Craig already pointed out)