I use my laser printer, Hammermill paper, an Avery glue stick and Photoshop to make my labels. I had Photoshop already, to work on my digital images/photos (another hobby of mine)... You can use the software of your choice to make the labels. I like Photoshop since it does a solid job of the images I'm placing on the labels. I can also easily tweak the image a dozen ways to Sunday, easily.
Personally, I don't want to spend more money on supplies for labels. They're only temporary anyway. I have thought about the neck tags, but I'd want to use card stock, or heavier paper for those, and that would cost more than just printing the labels as I have been. I have a system/method all setup to put the labels on the bottles. Doesn't take that long, looks good, and such. I get plenty of compliments about my labels, so I'll continue doing it this way.