Well, the answers you get are going to depend on how unbelievable hardcore the shippers are.
I am fond of thinking of it as a relationship of fascination more than love. Jareth represents the glamorous superstar her mother went with (according to random things in Sarah's room, we find her mother left her father for, uh, "Jeremy"/David Bowie). She apparently idolizes her mother and wants that same kind of glam for herself. Jareth, meanwhile, appears to want a stronger existence, to be appreciated as an independent being and not just her fantasy (see "Within You"). He kidnaps Toby (or, rather, has it done by goblins) to bait Sarah into proving herself in the Labyrinth, certain this spoiled little child (who complains of endless housework yet we never see any evidence she's ever lifted a finger instead of, as Nostalgia Chick put it, "LARPing" all over the park every day) will not solve his labyrinth. Eventually, as Jareth has been sick and tired of this whiny little girl, he realizes she is actually getting further in the labyrinth and this talent of hers fascinates him. He finally tempts her with her ultimate fantasy, a fairy tale ballroom dance, complete with white wedding dress, etc, but being a teenager, she freaks and runs off, leaving him kinda confused. He berates her in the Escher Room about how she doesn't even know what she wants and is so cruel to him (the complex background symbolizing her indecision, or as Fraggle fans would put it, "wembling"). He tries again when she breaks the puzzle of the Escher Room but she still rejects him, leaving him in his owl form to sulk outside her bedroom window.
Hardcore shippers cannot concede the canon is quite clear that he might have fallen in love with her, but she's too dang young and immature and she can't stand him (of course, having a loving ballroom dance after being creeped out by Fireys maybe wasn't the best timing). The extent of her maturation is shown by her giving one teddy bear to the baby. Jareth's gonna have to wait a bit longer if he wants a mature equal (not to say that he's very mature, as he can be just as petulant as she is). She is the Dorothy Gale of the story and that necessitates a lot of wembling about what she really wants and ending up barely better off than she was at the start, with a LOT of complaining in between.