Many years back there was talk within Henson of possibly doing a Labyrinth sequel. What ended up happening is the company (along with Neil Gaiman) decided to make an all new movie that would be heavily inspired by - and serve as a quasi-modern version of - Labyrinth called MirrorMask (available on dvd and Blue Ray)
"Return to Labyrinth" is a fairly recent project but it's not a film (nor has there been any talk of making it into one) but rather a four-volume mange book series (the first three voumes have already been released) by Tokyopop. The book series focuses on a now teenage Toby who finds himself becoming Jareth's heir. A great, highly-reccomended read for Labyrinth fans. In addition, Archaia Comics (which just debuted a Fraggle Rock comic book this week), will be releasing Dark Crystal and Labyrinth comic books this fall.