22Aug/090
Introducing padding in a JLabel
To introduce padding in a JLabel can we use an EmptyBorder, where the attribute width will be our padding. Like this:
...
JLabel jLabel = new JLabel("My JLabel");
//Border used as padding
Border paddingBorder = BorderFactory.createEmptyBorder(10,10,10,10);
jLabel.setBorder(BorderFactory.createCompoundBorder(border,paddingBorder));
...
Here, the JLabel contains a padding with 10 pixels in top, right, bottom and left respectively.

If you want to put border around the JLabel, can use a CompoundBorder, inserting Border and EmptyBorder (padding). Like this:
...
JLabel jLabel = new JLabel("Meu JLabel");
//Border used as padding
Border paddingBorder = BorderFactory.createEmptyBorder(10,10,10,10);
//JLabel will be involved for this border
Border border = BorderFactory.createLineBorder(Color.BLUE);
jLabel.setBorder(BorderFactory.createCompoundBorder(border,paddingBorder));
...

Download the source code of this sample here.