Google has added color to the labels. The key here is you need to be using the new interface. Sorry Internet Explorer 6 users (and perhaps some others I haven’t tested yet).
It’s funny how such a simple thing like color can really make the labels come alive. I’ve color coded several of my more popular labels – at least ones that get auto-applied by an incoming filter, and they REALLY stand out nicely in the conversation index.
Nice touch Google!