Mathematica: True Labyrinth (827 chars)
Originally, I produced a path from {1,1,1} to {5,5,5} but because there were no possible wrong turns to be made, I introduced forks or "decision points" (vertices of degree >2) where one would need to decide which way to go. The result is a true maze or labyrinth.
The "blind alleys" were far more challenging to solve than finding a simple, direct path. The most challenging thing was to eliminate cycles within the path while allowing cycles off the solution path.
The following two lines of code are only used for rendering the drawn graphs, so the code does not count, as it is not employed in the solution.
o = Sequence[VertexLabels -> "Name", ImagePadding -> 10, GraphHighlightStyle -> "Thick",
ImageSize -> 600];
o2 = Sequence[ImagePadding -> 10, GraphHighlightStyle -> "Thick", ImageSize -> 600];
Code used:
e[c_] := Cases[EdgeList[GridGraph[ConstantArray[5, 3]]], j_ \[UndirectedEdge] k_ /; (MemberQ[c, j] && MemberQ[c, k])]
m[] :=
Module[{d = 5, v = {1, 125}},
While[\[Not] MatchQ[FindShortestPath[Graph[e[v]], 1, 125], {1, __, 125}],
v = Join[v, RandomSample[Complement[Range[125], v], 1]]];
Graph[e[Select[ConnectedComponents[Graph[e[v]]], MemberQ[#, 1] &][[1]]]]]
w[gr_, p_] := EdgeDelete[gr, EdgeList[PathGraph[p]]]
y[p_, u_] := Select[Intersection[#, p] & /@ ConnectedComponents[u], Length[#] > 1 &]
g = HighlightGraph[lab = m[], PathGraph[s = FindShortestPath[lab, 1, 125]],o]
u = w[g, s]
q = y[s, u]
While[y[s, u] != {}, u = EdgeDelete[u, Take[FindShortestPath[u, q[[1, r = RandomInteger[Length@q[[1]] - 2] + 1]],
q[[1, r + 1]]], 2] /. {{a_, b_} :> a \[UndirectedEdge] b}];
q = y[s, u]]
g = EdgeAdd[u, EdgeList@PathGraph[s]];
Partition[StringJoin /@ Partition[ReplacePart[Table["x", {125}],
Transpose[{VertexList[g], Table["o", {Length[VertexList@g]}]}]/. {{a_, b_} :> a -> b}], {5}], 5]
Sample output
{{"oxooo", "xxooo", "xoxxo", "xoxxo", "xxoox"},
{"ooxoo", "xoooo", "ooxox", "oooxx", "xooxx"},
{"oooxx", "ooxxo", "ooxox", "xoxoo", "xxxoo"},
{"oxxxx", "oooox", "xooox", "xoxxx", "oooxx"},
{"xxxxx", "ooxox", "oooox", "xoxoo", "oooxo"}}
Under the hood
The picture below shows the labyrinth or maze that corresponds to the solution ({{"ooxoo",...}} displayed above:

Here is the same labyrinth inserted in a 5x5x5 GridGraph. The numbered vertices are nodes on the shortest path out of the labyrinth. Note the forks or decision points at 34, 64, and 114.
I'll include the code used for rendering the graph even though it is not part of the solution:
HighlightGraph[gg = GridGraph[ConstantArray[5, 3]], g,
GraphHighlightStyle ->"DehighlightFade",
VertexLabels -> Rule @@@ Transpose[{s, s}] ]

And this graph shows only the solution to the labyrinth:
HighlightGraph[gg = GridGraph[ConstantArray[5, 3]],
Join[s, e[s]], GraphHighlightStyle -> "DehighlightFade", VertexLabels -> Rule @@@ Transpose[{s, s}] ]

Finally, some definitions that may help reading the code:

Original solution (432 char, Produced a path but not a true maze or labyrinth)
Imagine a 5x5x5 large solid cube made up of distinct unit cubes. The following begins without unit cubes at {1,1,1} and {5,5,5}, since we know they must be part of the solution. Then it removes random cubes until there is an unimpeded path from {1,1,1} to {5,5,5}.
The "labyrinth" is the shortest path (if more than one is possible) given the unit cubes that have been removed.
d=5
v={1,d^3}
edges[g_,c_]:=Cases[g,j_\[UndirectedEdge] k_/;(MemberQ[c,j]&&MemberQ[c,k])]
g:=Graph[v,edges[EdgeList[GridGraph[ConstantArray[d,d]]],v]];
While[\[Not]FindShortestPath[g,1,d^3]!={},
v=Join[v,RandomSample[Complement[Range[d^3],v],1]]]
Partition[Partition[ReplacePart[
Table["x",{d^3}],Transpose[{FindShortestPath[g,1,d^3],Table["o",{Length[s]}]}]
/.{{a_,b_}:> a->b}],{d}]/.{a_,b_,c_,d_,e_}:> StringJoin[a,b,c,d,e],5]
Example:
{{"ooxxx", "xxxxx", "xxxxx", "xxxxx", "xxxxx"},
{"xoxxx", "xoooo", "xxxxo", "xxxxo", "xxxxo"},
{"xxxxx", "xxxxx", "xxxxx", "xxxxx", "xxxxo"},
{"xxxxx", "xxxxx", "xxxxx", "xxxxx", "xxxxo"},
{"xxxxx", "xxxxx", "xxxxx", "xxxxx", "xxxxo"}}
Technically this is not yet a true labyrinth, since there are no wrong turns that one can make. But I thought it interesting as a start since it relies on graph theory.
The routine actually makes a labyrinth but I plugged up all empty locations that could give rise to cycles. If I find a way to remove cycles I will include that code here.