- Sarah's stepmother is usually referred to as either "Karen" or "Irene". No one seems to know for sure what her actual name is. The official movie novelization establishes her as Irene, though Karen remains more popular among fans.
- Sarah's last name is Williams (it's mentioned in the film novelization, but not in the movie itself).
- Jareth is Fae. He's only ever referred to as the Goblin King in the movie, but his behavior and Blue and Orange Morality lead a lot of fans to believe that he's part of a larger society of faeries. (Alternately, he was a stolen child like Toby, which would explain his human appearance.)
- The Goblin Kingdom, and the Labyrinth, are located in a magical world called the Underground (drawing from David Bowie's song of the same name, featured in the opening and closing credits of the film). Whether or not it's actually below our Earth is debatable.
- Sarah goes to college to study English or theatre.
- Toby has no memory of the events of the film. (Realistic, since he was a baby, but not necessarily true.)
Fanon / Labyrinth
Labyrinth has a very active fandom, especially fanfiction and fanart, and most of it draws upon the same fanon.