In Gmail, a label is a tag that can be added to any email you receive or send. You can also add labels to drafts. You can use labels to help keep your inbox organized. You can apply multiple labels to a single message. (Note: Labels are also used in a similar way in your contacts.)
In addition to labels, you can star your most important emails to make them easy to find. The default color for stars is yellow, but you can change the color and the shape. The location of the star depends on which view of the inbox you are using.
Gmail Help Center: Create Labels to Organize Gmail
Video: How to Use Gmail Filters and Labels (run time 12:52)
Gmail Help Center: Star Emails in Gmail
PC World: Using Gmails Hidden Colored Stars