Let's say you have a number of posts with the label Label-1 but you've decided that you'd rather call it Label-2 instead. You can't edit the name of a label directly, but there's a simple workaround to accomplish your goal:
1. Go to the Posting | Edit Posts tab for your blog.
2. Click Label-1 in the label list.
3. Click Select All to select every post with this label.
4. From the Label Actions... menu, choose Apply label > New Label...
5. Enter Label-2 as your new label. (If you already have some posts with this label, you can simply add that label, without creating a new one.)
6. Now all the selected posts should have both labels. From the Label Actions... menu again, select Remove label > Label-1, and you've completed the switch.
Note: If you have a large number of posts with this label, they may not all appear on one page. You can show more posts at once using the Posts Per Page menu. If you still can't show them all at once, then simply repeat the steps above until you've changed the labels on all the posts you wanted to affect.