Until now, to move an email out of your inbox and into a label you first had to apply the label using the "More actions" menu and then click "Archive." Gmail has now added a "move to" drop-down that combines two actions, the buttons and menus at the top of your inbox will look a bit different. (see the screenshot below)
You can now just use the "Move to" button to label and archive in a single step -- just like you would with a folder. If you just want to add or remove a label, use the new "Labels" button. Auto-complete works, so for those of you with a lot of labels, you can select the one you want just by typing the first couple characters. You can also use keyboard shortcuts: v for "Move to" and l (lowercase L) for "Labels."