Not very elegant, but it works. The basic idea is to simply replace the label by creating a new one with the same name. To avoid artifacts, you can hide the original first.

#!/usr/bin/winperl
use warnings;
use strict;

use Win32::GUI;

my $w = Win32::GUI::Window->new(
  -title    => "Win32::GUI::Label test",
  -left     => 100, 
  -top      => 100, 
  -width    => 100, 
  -height   => 100,
  -name     => "Window",
);
my $font = 0;
my @fonts = (
  Win32::GUI::Font->new(
    -name => 'Arial',
    -size => 14,
    -bold => 1,
  ),
  Win32::GUI::Font->new(
    -name   => 'Arial',
    -size   => 14,
    -italic => 1,
  ),
);
my @colors = ([0, 0, 0], [255, 0, 0]);

my @label_data = (
  -name       => "Label",
  -left       => 30, 
  -top        => 10,
  -text       => "Test",
);

my $l = $w->AddLabel(
  @label_data,
  -font       => $fonts[$font],
  -foreground => $colors[$font],
);

$w->AddButton(
  -name => 'Button',
  -text => 'Change Font',
  -left => 10,
  -top  => 45,
);

$w->Show();
Win32::GUI::Dialog();

sub Window_Terminate {
  return -1;
}

sub Button_Click {
  $font = ($font+1) % @fonts;
  $l->Hide();
  $l = $w->AddLabel(
    @label_data,
    -font       => $fonts[$font],
    -foreground => $colors[$font],
  );
}
[download]

The basic idea came from the How-To.