A lot of them are very passionate about what they are doing and are as music loving as their listeners. They act as a curator by selecting and developing artists, a ability that becomes increasingly underrated in times of services like EchoNest - while I really like what those guys are doing, as a user of various music services I tend to notice that all those discovery features provide very similar results - probably due to the fact that they are using the same APIs by EchoNest. That makes it hard to find new quality music.
Therefor it's good to have a curated selection like the catalogs of small and caring labels that give a human touch to a selection process that is a refreshing equivalent to the popular "You might also like..."-feature. Of course I can only speak for my personal interest, but being on the release schedule of labels like Morr Music, Kranky, Secretly Canadian, Domino, 4AD or Sub Pop is usually a very good indicator for music I might enjoy. Surely there are examples from other genres too.
Nevertheless things can also work out without labels: I'm a big fan of bandcamp which has a lot of talent to showcase and does almost everything right for listeners and artists alike. From the wide range of lossless formats to the flawless iOS audio player or the flexible pricing configurations - if you want to offer your music without a label, bandcamp is the way to go.
Both approaches offer benefits and I'd like them to co-exist.