lblName.Font = new Font("Arial", 12f);
This will create a new font and makes the label use that font. If you have multiple labels, you may want to create only one font and set all the labels to the one font, but other than that, this is as good as it gets.
using(Font font = new Font("Arial", 12f))
lblName.Font = font;
This is creating a font and making the label use it. And then, as the using
block ends, .Dispose()
will be called on the font, making it release all it's unmanaged resources (like I guess an HFONT windows handle). So you label hasn't been painted on screen yet, but it has an invalid font object to do so and will probably show nothing or throw exceptions or revert back to a known good standard.
So long story short: the second one is wrong. Don't use resources after you have disposed them.