Multiline text in JLabel
You can do it by putting HTML in the code, so:
JFrame frame = new JFrame();
frame.setLayout(new GridLayout());
JLabel label = new JLabel("<html>First line<br>Second line</html>");
frame.add(label);
frame.pack();
frame.setVisible(true);
I have used JTextArea for multiline JLabels.
JTextArea textarea = new JTextArea ("1\n2\n3\n"+"4\n");
http://docs.oracle.com/javase/7/docs/api/javax/swing/JTextArea.html
if you want your jLabel Text to resize automaticly for example in a stretchable gridbaglayout its enough just to put its text in html tags like so:
JLabel label = new JLabel("<html>First line and maybe second line</html>");