There's a number of reasons why they say not to add labels to discs.  An uncentered label can cause a disc to be heavier on one side and spin crooked, scratching the disc.  The acid in the label's adhesive can cause faster deterioration of the disc material.  Some front-loading systems (such as car stereos) will scratch the label, and the adhesive will cause the disc to become stuck in the drive.
The only problem I've ever had with a label on a disc was a CD I bought from a local band.  The discs had been produced localy by a company that basicaly just burned them in a multi-disc recorder thing and then had printed labels applied.  The label had gotten damp and for some reason the disc would no longer play.  The band ended up getting a new batch of the CDs pressed by a better production house, and the discs had the artwork printed directly on them, so I just bought a new copy.
My advice: For your own stuff, just use a Sharpie.  You probably won't have any problems using labels, but if you need artwork on the disc, you're better off just getting discs with a printable surface.  They may cost a bit more than regular CD-Rs or DVD+Rs, but by the time you add the disc plus the label, plus the time to apply the label, it's cheaper to get the printable ones.