You can select and drag a label to move it, but this is not recommended because you are actually moving the label location on the map. If you drag a label a few pixels, the distance you move it is in the current map units, regardless of the zoom. For example, if you are displaying a map of the United States and drag New York state's label a few pixels, at that zoom, the label looks fine. However, if the Map Units distance is in miles and you zoom in on New York state, the label will display much farther away than at the previous zoom.
You can drag curved labels to reposition them along a line segment. For details, seeUsing Curved Labels.