As other responders have noted, you're limited to straight text in labels - regular labels, button labels, checkbutton labels, etc.

In some cases, you can make do by using a text widget, which allows a lot more freedom in formatting. This works particularly well as a replacement for a regular label. But that's less useful for things like checkbuttons, because a checkbutton label is clickable, and your text widget wouldn't behave like that by default. You'd have to bind it manually.