Press Shift-G or Cmd-Opt-G to open the autocompletion window
Optional: type some part of the label to filter the list
Optional: use your keyboard to choose an entry
Press enter to navigate to the label and close the window
Tip - there are direct keyboard shortcuts for the most important labels in the "Mail->Go to" menu. Or use the Gmail provided g+i, g+s keyboard combinations to jump to inbox, starred, drafts etc. Press ? to get all Gmail keyboard shortcuts.Important: This feature works in Gmail 2 only.