I needed to do this will a Panel. Maybe it'll work for a Label too...

protected override CreateParams CreateParams
{
    get
    {
        CreateParams createParams = base.CreateParams;
        if (PaintMode == PanelPaintMode.Transparent)
            createParams.ExStyle |= 0x00000020; // WS_EX_TRANSPARENT
        return createParams;
    }
}