Oxidation of proteins and peptides is a common phenomenon, and can be employed as a labeling technique for mass-spectrometry-based proteomics. Nonspecific oxidative labeling methods can modify almost any amino acid residue in a protein or only surface-exposed regions. Specific agents may label reactive functional groups in amino acids, primarily cysteine, methionine, tyrosine, and tryptophan. Nonspecific radical intermediates (reactive oxygen, nitrogen, or halogen species) can be produced by chemical, photochemical, electrochemical, or enzymatic methods. More targeted oxidation can be achieved by chemical reagents but also by direct electrochemical oxidation, which opens the way to instrumental labeling methods. Oxidative labeling of amino acids in the context of liquid chromatography(LC)-mass spectrometry (MS) based proteomics allows for differential LC separation, improved MS ionization, and label-specific fragmentation and detection. Oxidation of proteins can create new reactive groups which are useful for secondary, more conventional derivatization reactions with, e.g., fluorescent labels. This review summarizes reactions of oxidizing agents with peptides and proteins, the corresponding methodologies and instrumentation, and the major, innovative applications of oxidative protein labeling described in selected literature from the last decade.