As mutant said don't set them to the same instance.
Dim i As Int16, lbl As Label, x As Int16, y As Int16
For i = 1 To 5
lbl = New Label
lbl.Location = New Point(x, y)
Panel1.Controls.Add(lbl)
x += 10
y += 10
lbl.Text= i
Next
Console.Write(Panel1.Controls.Count)