You can use Core Graphics to draw the gradient, as pointed to in Mike's response. As a more detailed example, you could create a UIView subclass to use as a background for your UILabel. In that UIView subclass, override the drawRect: method and insert code similar to the following:
- (void)drawRect:(CGRect)rect
{
CGContextRef currentContext = UIGraphicsGetCurrentContext();
CGGradientRef glossGradient;
CGColorSpaceRef rgbColorspace;
size_t num_locations = 2;
CGFloat locations[2] = { 0.0, 1.0 };
CGFloat components[8] = { 1.0, 1.0, 1.0, 0.35, // Start color
1.0, 1.0, 1.0, 0.06 }; // End color
rgbColorspace = CGColorSpaceCreateDeviceRGB();
glossGradient = CGGradientCreateWithColorComponents(rgbColorspace, components, locations, num_locations);
CGRect currentBounds = self.bounds;
CGPoint topCenter = CGPointMake(CGRectGetMidX(currentBounds), 0.0f);
CGPoint midCenter = CGPointMake(CGRectGetMidX(currentBounds), CGRectGetMidY(currentBounds));
CGContextDrawLinearGradient(currentContext, glossGradient, topCenter, midCenter, 0);
CGGradientRelease(glossGradient);
CGColorSpaceRelease(rgbColorspace);
}
This particular example creates a white, glossy-style gradient that is drawn from the top of the UIView to its vertical center. You can set the UIView's backgroundColor to whatever you like and this gloss will be drawn on top of that color. You can also draw a radial gradient using the CGContextDrawRadialGradient function.
You just need to size this UIView appropriately and add your UILabel as a subview of it to get the effect you desire.
EDIT (4/23/2009): Per St3fan's suggestion, I have replaced the view's frame with its bounds in the code. This corrects for the case when the view's origin is not (0,0).