not sure about the exchange email, but it can't be too dissimilar to the gmail/standard email version:
hit the "setting" button on the bottom of your phone when in an email, and click "labels"
or, when viewing your inbox, select the email using the icon to the left of the email's title (looks like a little check box)
you could always try to click and hold on the email to pop up some extra settings, one of which may be what you're looking for.
I am not familiar with exchange, but if it is like the regular stock email app the answer is no. In the gmail app you can. To me it is the one glaring thing that Android screwed up on, but I guess they put more work into gmail because that is where they want everyone anyways. I would think by one of these updates it would be added but not much talk about it.