Something like this :
g <- ggplot(data=data.frame(x=0,y=0))+geom_point(aes(x=x,y=y))
g+ xlab( expression(paste("Value is ", sigma,",", R^{2},'=0.6')))
EDIT
Another option is to use annotate with parse=T:
g+ annotate('text', x = 0, y = 0,
label = "Value~is~sigma~R^{2}==0.6 ",parse = TRUE,size=20)

EDIT
The paste solution may be useful if the constant 0.6 is computed during plotting.
r2.value <- 0.90
g+ xlab( expression(paste("Value is ", sigma,",", R^{2},'=',r2.value)))
Somewhat more straightforward than paste() might be:
g <- ggplot(data=data.frame(x=0,y=0))+geom_point(aes(x=x,y=y))
g + xlab( expression(Value~is~sigma~R^{2}==0.6))
# ~ for spaces, and * for no-space between (unquoted) expressions
Generally paste and all those paired-quotes are not needed if you use the proper plotmath connectives. Even if you want the text that would otherwise create a Greek letter, all you need to do is enclose it in quotes with either a * or ~ on each side. One trouble with offering paste to newcomers to plotmath expressions is that they then think it is the same as paste in the rest of the language.
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