If Challenges are like assignments, Labs are like courses. Each Lab contains a set of Challenges based around a central topic or theme.
To learn more about Challenges, see this article.
Depending on how a Lab is configured, it may ask participants to complete these Challenges in a certain order, or they may be free to finish them in any order they choose.
Much like Challenges, Labs accept project submissions. This is great for cumulative deliverables; that is, projects which are built on in each subsequent Challenge. For example, the Full Stack Career Lab starts participants off with a simple, static website; they continue to add functionality until they have a full frontend and backend.
Labs can also be associated with Resources, providing a great way to give extra learning materials related to your Lab's topic.
To learn more about Resources, see this article.
Labs can also rewards Achievements for completion, participation, and for exceptional work.
To learn more about Achievements, see this article.