Rub a bit of lip balm over the sticky mark, then get a piece of kitchen roll and rub over the mark. I find this particularly useful on CD cases. I only use the lip balm to get marks off of surfaces I know it won't damage. It won't work on fabrics.
To remove the sticky residue left underneath the label, ordinary lighter fuel for petrol lighters does the trick. Just squirt some on the residue, leave for a moment and the fuel removes it in one. Just wipe the surface afterwards with water and beware which surfaces you apply the fuel to.