Well I have and now I finally know.
It always seemed to me fairless pointless the Windows .NET label control (label) having a TabIndex property as the label cannot receive focus and yet the TabIndex property's purpose in life is to dictate the order controls receive focus on a form when the user tabs through them.
However, there is some additional functionality associated with the TabIndex property on a label control. If the label has a shortcut key associated with it, by including an ampersand (&) character in the text property, e.g. &Label1, then pressing ALT + L will cause focus to move to the control with the next TabIndex value after the label control.
So what's the big deal with this? Well if the following control doesn't have the ability to handle shortcut keys, e.g. the Windows .NET Textbox control (textbox), then providing the shortcut key on a label control immediately proceeding the textbox in the TabIndex order will give the textbox control exactly the same functionality as if it had a shortcut key assigned to it.
Neat isn't it?
Note that for this to work the label's UseMnemonic property must be set to True.