In Aura we used to do this:
let labelName = 'mylabel'; $A.getReference("$Label.c."+ labelName);
In LWC $A is not accessible anymore.
Following the documentation I can only see a way to get access to Label's value through import. As far as I know import don't work dynamically. By this I mean that you need to know which label you want the value of in advance. In our case the label's name would be stored in a Custom Metadata
I was hoping for a solution involving Apex and/or SOQL but could not find anything.