According to this document, it is possible to add "destinations" to a PDF file that can be used to navigate directly to certain places in the document when opening it:
Open a PDF file to a set destination
A destination is the end point of a link represented by text in the Destinations tab. Destinations enable you to set navigation paths across a collection of Adobe PDF documents. Linking to a destination is recommended when linking across documents because, unlike a link to a page, a link to a destination is not affected by the addition or deletion of pages within the target document.
To set a Destination in Acrobat 7.0 (Professional or Standard):
Set the Zoom and page location to the way you want it on the screen.
Select View > Navigation Tabs > Destinations to open the Destinations tab.
Select Options > New Destination from the Destinations tab.
Give the Destination a name.
Create an HTML link that points to this destination by adding #[destination name] to the end of the links URL.
For example, this HTML tag opens a destination named "glossary" in a PDF file named myfile.pdf:
<A HREF="http://www.example.com/myfile.pdf#glossary">
Using pdflatex and hyperref, is there a way to place these "destinations" in the PDF output file? Is it possible to automatically add \labels as destinations?