try that using javascript it id more faster than code behind.. :)
function ChangeStyle(FontValue) {
document.getElementById("MyLabel").style.fontFamily= FontValue;
}
<asp:dropdownlist id="drop1" runat="server" onchange="ChangeStyle(this.value)" xmlns:asp="#unknown">
<asp:listitem value="Arial Black">SELECT</asp:listitem>
<asp:listitem value="Arial Black">Arial Black</asp:listitem>
<asp:listitem value="Times New Roman">Times New Roman</asp:listitem>
<asp:listitem value="Tahoma">Tahoma</asp:listitem>
</asp:dropdownlist>
<asp:label id="MyLabel" runat="server" text="My Name is Nirav" xmlns:asp="#unknown"></asp:label>