You may subclass from UILabel and override drawRect method:
- (void)drawRect:(CGRect)rect {
CGContextRef ctx = UIGraphicsGetCurrentContext();
CGContextSetRGBStrokeColor(ctx, 207.0f/255.0f, 91.0f/255.0f, 44.0f/255.0f, 1.0f); // RGBA
CGContextSetLineWidth(ctx, 1.0f);
CGContextMoveToPoint(ctx, 0, self.bounds.size.height - 1);
CGContextAddLineToPoint(ctx, self.bounds.size.width, self.bounds.size.height - 1);
CGContextStrokePath(ctx);
[super drawRect:rect];
}
UPD:
As of iOS 6 Apple added NSAttributedString support for UILabel, so now it's much easier and works for multiple lines:
NSDictionary *underlineAttribute = @{NSUnderlineStyleAttributeName: @(NSUnderlineStyleSingle)};
myLabel.attributedText = [[NSAttributedString alloc] initWithString:@"Test string"
attributes:underlineAttribute];
If you still wish to support iOS 4 and iOS 5, I'd recommend to use TTTAttributedLabel rather than underline label manually. However if you need to underline one-line UILabel and don't want to use third-party components, code above would still do the trick.