How can I label only one line of an equation array?

amsmath provides a similar interface to eqnarray, but is better in terms of it's horizontal spacing/alignment:

\documentclass{article}
\usepackage{amsmath}% http://ctan.org/pkg/amsmath
\begin{document}
\begin{align}
  X &= Y + Z \label{eqn:1} \\
    &\leq U \times W. \nonumber \\
    & = Y + Z \tag{a}
\end{align}
\end{document}

\nonumber removes the number for that line in the align environment. \tag can also be used to create a manual tag.

if only one equation number is wanted for a group, the split environment from amsmath is a reasonable candidate; it must be "wrapped" in an equation environment for the equation number to appear.

if all the equations in a group are to be numbered, then (as pointed out in other answers) the align environment is more suitable.

\begin{equation}
\begin{split}
 X &=Y+Z\\
   &\leq U \times W
\end{split}
 \label{eqn:1}
\end{equation}

\begin{align}
 X &=Y+Z \label{eqn:2}\\
   &\leq U \times W \label{eqn:3}
\end{align}