Big No-No - Labels. Why, oh, why would you ruin your beautiful invitations with a mailing label? There is one exception to No-No labels. If you are doing, say, a designer label something that goes along with your invitation suite (like the one I did in the recent Boxed Up! > Super-cute Baby Shower Invites post) then I'd say that is perfectly acceptable. But those standard white (or even clear) mailing labels simply look awful.
My recommendation to the addressing dilemma if you must print addresses - is to print directly on the envelope. Using a coordinating script and maybe even a dash of coordinating artwork. Digitally addressing through SJD is reasonably priced and looks beautiful.