Easiest is to set a OS environment variable (at the system level, or for the user ColdFusion runs under), and restart the service. The variable is then available in the CGI scope:
<cfset EnvName = CGI.COLDFUSION_ENVIRONMENT>
<cfoutput>#EnvName#</cfoutput>
You could also use Java system properties. In your ColdFusion Administrator, go to "Server Settings/Java and JVM", and add something like this to the "JVM Arguments":
-Dcom.mycompany.environment=development
You can then ask for that value in ColdFusion:
<cfset System = CreateObject("java", "java.lang.System")>
<cfset EnvName = System.getProperty("com.mycompany.environment")>
<cfoutput>#EnvName#</cfoutput>
You would have to restart the CF Service every time you make a change, but the value seems pretty static so this should not be a problem.