Delegate Function Me_Delegate() As Form
    Public Function _Me() As Form
        If Me.InvokeRequired Then
            Return Me.Invoke(New Me_Delegate(AddressOf _Me), New Object() {})
        Else
            Return Me
        End If
    End Function
 

Public Class Form1
 
    Public T As New Threading.Thread(AddressOf Thread_Sub)
    Public Sub Thread_Sub()
        SetControlText(Label1, "Texto cambiado") 'Aqui no da error
        'Label1.Text = "Texto cambiado" 'Aqui da error
    End Sub
 
    Public Delegate Sub SetControlText_Delegate(ByVal Ctrl As Control, ByVal Text As String)
    Public Sub SetControlText(ByVal Ctrl As Control, ByVal Text As String)
        If Me.InvokeRequired Then
            Me.Invoke(New SetControlText_Delegate(AddressOf SetControlText), New Object() {Ctrl, Text})
        Else
            Ctrl.Text = Text
        End If
    End Sub
 
    Private Sub Form1_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
        T.Start()
    End Sub
 
End Class