QGIS 1.8.0 Mac OS 10.6.8 - others may differ. What I've found so far:
There are two independent labellers in QGIS, one accessed through the layer drop-down menu Labeling (sic) or via the ABC icon; the other through double-clicking the layer name and clicking the Labels tab. See above though, this may change.
Label names can only be entered via the layer drop-down menu: Attributes. A new layer will show two columns, a row number and a numeric 'id'; imported layers may show more. Don't remove the id column or anything to the left of it or the layer will become uneditable; you'll have to delete and recreate it from scratch including features. Columns can only be deleted from the right, not from the middle, or column linkages get fouled up.
Create a new column. Make sure it's long enough; you can't lengthen it later. It's handy to use the old labels system to display the id of each feature so you know which is which while you work on the new column entries that will be displayed via the dropdown Labeling. The latter is smarter - it tries to avoid label overlaps.
Remove everything from the default label box (old system) if you want to leave some features unlabelled with it.
When you have created everything and hit OK back through all the windows, nothing new will show until you toggle editing off to save the changes.
Many thanks to Cao Minh Tu