The sneak peek may save people some time, but the nested labels should be the most useful. Right now, if you wanted to organize messages that meant a number of different labels. The number of labels can quickly get unwieldy. Now, you can nestle labels within other labels to clean up the interface. It also helps the organisation by grouping related labels together.
"Labels are more flexible than folders because a given email can have several labels but can't be in several folders at the same time. A highly requested feature for labels, though, comes from the world of folders: the ability to organize labels hierarchically.
If you think this might be useful to you, go to the Gmail Labs tab under Settings, look for "Nested Labels," enable it and click "Save." You'll then need to name your label with slashes (/) to make it the child of another. For example, let's say you wanted to create a simple hierarchy with a "Home" label, and inside it a "Family" and a "Vacation" label. Just create three labels with the following names:
You can then create "Home/Family/Kids," "Home/Pets," etc., to get something like the screenshot on the left. If you had the parent label "Home" before you don't have to create it from scratch.
You can create complex hierarchies of labels if that's the way you like to organize your mail, and you can expand/collapse labels to save space. You'll always be able to tell whether a given label contains unread messages in its collapsed child labels by looking at whether it's bold or not."