I usually create my column labels with a background color and cell borders. And more often than not, I don't use borders for the numeric data below. For columns containing numeric data, I usually right-align the column labels to match the right-aligned numbers in the same column. This usually results in the text labels tight up against the borders.

You can give your right-aligned labels a little breathing room by adding some space between the text and the border. One way to do this is simply by typing a space after your label text. Most people solve this problem by center aligning their column labels. I don't recommend either.

If you want to have your text right-aligned but not tight to the cell border, here is a simple option can use.

1) Select the text cells;
2) In Excel 2007, on the Home tab, click the small arrow on the bottom right corner of the Alignment group. In Excel 2003, from the Format menu select Cells. (or use keyboard shortcut CTRL+1 in all versions of Excel to open the Format Cells dialog);
3) On the Alignment tab, select Right (Indent) from the Horizontal dropdown;
4) In the Indent field type or increment with the spinner, how much you want to indent from the right;
5) Click OK.

Because each increment of the Right Indent option is equivalent to two or more blank spaces (depending on the font being used), I often use another trick to give me more control on how much to indent...

1) Select the text cells;
2) In Excel 2007, on the Home tab, click the small arrow on the bottom right corner of the Number group. In Excel 2003, from the Format menu select Cells. (or use keyboard shortcut CTRL+1 in all versions of Excel to open the Format Cells dialog);
3) On the Number tab, click Custom in the Category list;
4) In the Type field enter the @ symbol followed by a blank space. The @ symbol represents the Text. The @ symbol followed by a blank space tells Excel that if there is text in this cell, display a blank space after the text;
5) Click OK.

The text lables will now be offset from the border by the width of a blank space. If you want, you can use more spaces to offset the text even more.

P.S. If you also want to put some space between your numbers and the right edge of the cell, you can adapt this same trick to the number format used in the cell. Select the numeric cells, open the Format Cells dialog (CTRL+1), click Custom in the Categories list and add a blank space to the end of the number format. If the number format contains code for both positive and negative numbers, you will need to insert a space at the end of both codes.