In the standard client, if you enter an invalid address, the payment will refuse to send, and the address in question will be highlighted in red. Since bitcoin addresses include a checksum, the chance of a misspelled address being accepted as valid is about 4 billion to one against, so this isn't something you should worry about. Additionally, the standard client will autocorrect the easily confused characters 0,O,I,l to the correct o and 1. (In case you didn't know, the former characters are not valid in Bitcoin addresses, precisely to avoid accidental confusion with the latter characters).
If you only misspelled the label, it's no problem, as the label only adds the address to your address book (it is not sent as part of the transaction), and you can rename addresses in your address book at any time.