How to label each equation in align environment?

\tag also works in align*. Example:

\begin{align*}
  a(x)^{2} &= bx\tag{1}\\ 
  a(x)^{2} &= b\tag{2}\\ 
  ax &= b\tag{3}\\ 
  a(x)^{2}+bx &= c\tag{4}\\ 
  a(x)^{2}+c &= bx\tag{5}\\ 
  a(x)^{2} &= bx+c\tag{6}\\ \\ 
  Where\quad a, b, c \, \in N
\end{align*}

Output:

Usually my align environments are set up like

\begin{align} 
  \label{eqn1}
  \lambda_i + \mu_i = 0 \\
  \label{eqn2}
  \mu_i \xi_i = 0 \\
  \label{eqn3}
  \lambda_i [y_i( w^T x_i + b) - 1 + \xi_i] = 0
\end{align} 

The \label command should be placed in the line you want to reference, the placement in the line does not matter. I prefer to place it at the beginning at the line (as a sort of description) while others place them at the end.

like this

\begin{align} 

x_{\rm L} & = L \int{\cos\theta\left(\xi\right) d\xi}, \label{eq_1} \\\\

y_{\rm L} & = L \int{\sin\theta\left(\xi\right) d\xi}, \nonumber

\end{align}

You can label each line separately, in your case:

\begin{align}
  \lambda_i + \mu_i = 0 \label{eq:1}\\
  \mu_i \xi_i = 0 \label{eq:2}\\
  \lambda_i [y_i( w^T x_i + b) - 1 + \xi_i] = 0 \label{eq:3}
\end{align} 

Note that this only works for AMS environments that are designed for multiple equations (as opposed to multiline single equations).