You can modify various parts of the pivot by selecting the part you want to format and then changing the settings for the portion selected.
Help for pivotselect
Some sample code:
ActiveSheet.PivotTables("PivotTable1").PivotSelect "NAME[All]", _
.Name = "Arial"
.FontStyle = "Bold"
.Size = 10
.Strikethrough = False
.Superscript = False
.Subscript = False
.OutlineFont = False
.Shadow = False
.Underline = xlUnderlineStyleNone
.ColorIndex = xlAutomatic
This code would bold the labels for the pivot object NAME
For an easy way to determine the required code, record a macro, do what you want
done, and then look at the macro to see what the code looks like.