The method of @
jurialmunkey is exactly what we used to do. (We used to even use more copies for subtitles or large fonts).
Now we basically render twice - once with an expanded outline, and once without. Now that I think about it, the expanded outline stuff could probably be hacked into the same stuff as bold/italics, but you'd need to use 2 label controls, and I'm guessing that you'd have issues with anything that relies on alignment or scrolling, as the size of those labels would differ due to the expanded outline.
An alternate that I hadn't thought of until now is somehow incorporating it into the existing font stuff, so the outline for 'A' would be rendered into the font texture as well as 'A', then we'd render them both for character 'A'. It would slightly swell the sizing of the textures is the only problem, as we'd need to inflate the sizing a bit to allow this. The outline size would likely be unadjustable, but you could tell it to outline a single word in a label.
I guess it comes down to what is more useful: The ability to outline a part of an existing label, or the ability to outline an entire label with various different outline sizes. I'm guessing that the latter probably isn't actually a useful thing to have much control over (outline size).
Cheers,
Jonathan