You'll have to draw the callout bubbles yourself, but it is possible to label data points. To make a callout, you could subclass CPTextLayer and have it draw the bubble around the text. Use this new class to make your labels.
You can implement a datasource method to inform Core Plot which data points should be labeled and provide your own labels if you wish (this is how you'd do the callouts). You can also respond to touch events (click events on the Mac) and show a label for the point that was touched. You have to touch each point individually--you won't get the delegate notification if you drag from one point to the next.
The examples included with Core Plot demonstrate how both techniques work.