Is there any way to make a label in the Scene window. Finally I want to make some kind of a ruler to measure a distance.
you could place object on the scene and use the icon next to the name to use the actual name in the scene.
See the pic below, the icon pointed by the arrow is where you want to click and set.
Then the object will look like it is on the left.
Now if you want more visual, use 3DText or the new Text in World Space from uGUI.
Finally the square you see on your pic are actual ruler, they represent a distance of 10 or 1 if you get closer or 100 if you zoom out.
