ArcGlobe does not support layer labeling.  As a workaround, users can use ArcMap to convert labels to a new or existing annotation feature class.  Annotation feature class can be displayed in ArcGlobe as flat billboarded text.

The Globe Text Tool for ArcGIS Desktop 9.2 is a developer sample available on ArcScripts to generate true 3D layer labels.  The ArcScripts download includes full source code.  Below is a screenshot and a short demonstration video from YouTube..