't, i.e., a quote (apostrophe) character
followed by a target, for each entry that should be visited except
the last, "ordinary & final" entry:
\xymatrix{
{\circ}
\ar@{|-->} '[dr] ^a
'[rr]+D*{\bullet} ^b
[drrr] ^c
& {\circ} & {\circ} & {\circ} \\
{\circ} & {\circ} & {\circ} & {\circ} }
typesets

As you see, labels are set separately on each segment.

Hint: "going under" an empty entry leaves a small gap at that location. The compactness is achieved using a trick described in section 3.3.