I do, even for the hard disk; it's a reminder of where are /usr, 
/var and /home. The labels show up in cfdisk.

     For the usb memory sticks, it is very convenient to format the 
first partition as vfat and give a label to all partitions. The first 
partition will show up with its label under Windows and all partitions 
will do the same in Linux (kde/gnome/xfce).

     Didier