How to set the field label as an ? I'd like to be able to set the field label as an &lt;h2&gt;. How can I do?

I'm editing the features definition for a field collection directly so if it's possible to set it in there that would be super-handy!
One can provide a field.tpl.php file within the theme.

You can copy the existing field.tpl.php file from /modules/field/theme (which btw is just auxilliary and not used by Drupal) into the theme's directory and replace the line:

&lt;div class="field-label"&lt;?php print $title_attributes; ?&gt;&gt;&lt;?php print $label ?&gt;:&amp;nbsp;&lt;/div&gt;

into 

&lt;div class="field-label"&lt;?php print $title_attributes; ?&gt;&gt;&lt;h2&gt;&lt;?php print $label ?&gt;:&amp;nbsp;&lt;/h2&gt;&lt;/div&gt;

or something.