This short recipe will first create a new label, and display some text in it. We will then set the font name and size, and lastly will add some aditional properties affecting how the label is displayed.

using UIKit;
using Foundation;
using CoreGraphics;

// 1. Create a label and assign some text to display
var customLabel = new UILabel (new CGRect(10,10,300,30));
customLabel.Text ="Display this text in custom font";
customLabel.TextColor = UIColor.Magenta;

//Displays label in Sketches
customLabel 

// 2. Set the font name and size:
customLabel.Font = UIFont.FromName("Helvetica-Bold", 20f);

// 3. Optionally set additional properties that affect the display
customLabel.AdjustsFontSizeToFitWidth = true; // gets smaller if it doesn't fit
customLabel.MinimumFontSize = 12f; // never gets smaller than this size
customLabel.LineBreakMode = UILineBreakMode.TailTruncation;
customLabel.Lines = 1; // 0 means unlimited

//Display label in simulator
RootView.AddSubview(customLabel);

A list of fonts available on iOS 5 (refer to the Enumerate Fonts recipe to see how to generate this list):

AcademyEngravedLetPlain

AmericanTypewriter-CondensedLight

AmericanTypewriter-Light

AmericanTypewriter

AmericanTypewriter-Condensed

AmericanTypewriter-Bold

AmericanTypewriter-CondensedBold

AppleColorEmoji

AppleSDGothicNeo-Medium

AppleSDGothicNeo-Bold

ArialMT

Arial-ItalicMT

Arial-BoldMT

Arial-BoldItalicMT

ArialHebrew

ArialHebrew-Bold

ArialRoundedMTBold

BanglaSangamMN-Bold

BanglaSangamMN

Baskerville

Baskerville-Italic

Baskerville-SemiBold

Baskerville-SemiBoldItalic

Baskerville-Bold

Baskerville-BoldItalic

BodoniSvtyTwoITCTT-Book

BodoniSvtyTwoITCTT-BookIta

BodoniSvtyTwoITCTT-Bold

BodoniSvtyTwoOSITCTT-Book

BodoniSvtyTwoOSITCTT-BookIt

BodoniSvtyTwoOSITCTT-Bold

BodoniSvtyTwoSCITCTT-Book

BodoniOrnamentsITCTT

BradleyHandITCTT-Bold

ChalkboardSE-Light

ChalkboardSE-Regular

ChalkboardSE-Bold

Chalkduster

Cochin

Cochin-Italic

Cochin-Bold

Cochin-BoldItalic

Copperplate-Light

Copperplate

Copperplate-Bold

Courier

Courier-Oblique

Courier-Bold

Courier-BoldOblique

CourierNewPSMT

CourierNewPS-BoldMT

CourierNewPS-BoldItalicMT

CourierNewPS-ItalicMT

DBLCDTempBlack

DevanagariSangamMN

DevanagariSangamMN-Bold

Didot

Didot-Italic

Didot-Bold

EuphemiaUCAS

EuphemiaUCAS-Italic

EuphemiaUCAS-Bold

Futura-Medium

Futura-MediumItalic

Futura-CondensedMedium

Futura-CondensedExtraBold

GeezaPro

GeezaPro-Bold

Georgia

Georgia-Italic

Georgia-Bold

Georgia-BoldItalic

GillSans-Light

GillSans-LightItalic

GillSans

GillSans-Italic

GillSans-Bold

GillSans-BoldItalic

GujaratiSangamMN

GujaratiSangamMN-Bold

GurmukhiMN

GurmukhiMN-Bold

STHeitiSC-Light

STHeitiSC-Medium

STHeitiTC-Light

STHeitiTC-Medium

Helvetica-Light

Helvetica-LightOblique

Helvetica

Helvetica-Oblique

Helvetica-Bold

Helvetica-BoldOblique

HelveticaNeue-UltraLight

HelveticaNeue-UltraLightItalic

HelveticaNeue-Light

HelveticaNeue-LightItalic

HelveticaNeue

HelveticaNeue-Italic

HelveticaNeue-Medium

HelveticaNeue-Bold

HelveticaNeue-BoldItalic

HelveticaNeue-CondensedBold

HelveticaNeue-CondensedBlack

HiraKakuProN-W3

HiraKakuProN-W6

HiraMinProN-W3

HiraMinProN-W6

HoeflerText-Regular

HoeflerText-Italic

HoeflerText-Black

HoeflerText-BlackItalic

Kailasa

Kailasa-Bold

KannadaSangamMN

KannadaSangamMN-Bold

MalayalamSangamMN

MalayalamSangamMN-Bold

Marion-Regular

Marion-Italic

Marion-Bold

MarkerFelt-Thin

MarkerFelt-Wide

Noteworthy-Light

Noteworthy-Bold

Optima-Italic

Optima-Regular

Optima-Bold

Optima-BoldItalic

Optima-ExtraBlack

OriyaSangamMN

OriyaSangamMN-Bold

Palatino-Roman

Palatino-Italic

Palatino-Bold

Palatino-BoldItalic

Papyrus

Papyrus-Condensed

PartyLetPlain

SinhalaSangamMN

SinhalaSangamMN-Bold

SnellRoundhand

SnellRoundhand-Bold

SnellRoundhand-Black

TamilSangamMN

TamilSangamMN-Bold

TeluguSangamMN

TeluguSangamMN-Bold

Thonburi

Thonburi-Bold

TimesNewRomanPSMT

TimesNewRomanPS-ItalicMT

TimesNewRomanPS-BoldMT

TimesNewRomanPS-BoldItalicMT

TrebuchetMS

TrebuchetMS-Italic

TrebuchetMS-Bold

Trebuchet-BoldItalic

Verdana

Verdana-Italic

Verdana-Bold

Verdana-BoldItalic

ZapfDingbatsITC

Zapfino