I've been using Avery Design & Print, a free program from (you guessed it!) Avery, since the mid-2000s. The latest incarnation is not the friendliest thing in the universe, but it's designed for label building and that gives it good marks with respect to other programs.
Pros: It's designed for label making -- adding graphics and text (including curved text) any place you want is simple. It duplicates the design across the page.
Cons: It's designed for use by people without PC skills, so it railroads you through the process. It's based completely around Avery products (which makes perfect sense) so if you want something else, it's not going to happen.
I've printed on 3 materials:
1) Avery labels. This is the easiest to use, but you're limited to a white background. [I printed 2 batches of labels with a lightly colored background -- burned through an entire ink cartridge, labels cost nearly as much as the wine!] Labels come off easily in a soaking.
2) Wine labels. These are pregummed colored sheets that you wet before applying. I'm disappointed in this product (bought blue and yellow). The yellow especially look poor on the bottle. On the plus side, the labels come off VERY easy.
3) Plain paper. Print on plain or colored paper and use a glue stick. I cut them with a photo cutter (designed for scrapbooking) and stick 'em on. The process is a bit more laborious, but I will probably go forward with this, as I can buy any color paper I want. Labels come off very easily.
BTW: After years of printing on an inkjet, I printed my last set on a colored laser printer. I won't go back to inkjet .....