Assuming you are using ArcGIS for Desktop, in Labels>Expression>Help section states that you need concatenate HTML tags with field specifiers to be able to do such tricks:

 - `Specify a conditional if-else statement. These functions label cities with their name in a large, red font if their population is equal to or exceeds 250,000 and in the default label font if the population is less than 250,000:`

`Python`
 

    def FindLabel ( [NAME], [POPULATION] ):
      if long([POPULATION]) >= 250000:
        return "<CLR red='255'><FNT size = '14'>" + [NAME] + "</FNT></CLR>"
      else:
        return [NAME]

`VBScript`

    Function FindLabel ([NAME], [POPULATION])
      if (cLng([POPULATION]) >= 250000) then
       FindLabel = "<CLR red='255'><FNT size = '14'>" + [NAME] + "</FNT></CLR>"
      else
    	 FindLabel = [NAME]
      end if
    End Function

`JScript`

    function FindLabel ( [NAME], [POPULATION]  )
    {
    if (parseFloat([POPULATION]) >= 250000){
    return ("<CLR red='255'><FNT size = '14'>" + [NAME] + "</FNT></CLR>");
    }
    else
    return ([NAME]);
    }