From http://www.faqs.org/docs/Linux-mini/Xterm-Title.html#s3
xterm escape sequences
Window and icon titles may be changed
in a running xterm by using XTerm
escape sequences. The following
sequences are useful in this respect:
ESC]0;stringBEL
-- Set icon name and window title to string
ESC]1;stringBEL
-- Set icon name to string
ESC]2;stringBEL
-- Set window title to string
where ESC is the escape character
(\033), and BEL is the bell character
(\007).
Printing one of these sequences within
the xterm will cause the window or
icon title to be changed.
Note: these sequences apply to most
xterm derivatives, such as nxterm,
color-xterm and rxvt. Other terminal
types often use different escapes; see
the appendix for examples. For the
full list of xterm escape sequences
see the file ctlseq2.txt, which comes
with the xterm distribution, or
xterm.seq, which comes with the rxvt
distribution.
Printing the escape sequences
For information that is constant
throughout the lifetime of this shell,
such as host and username, it will
suffice to simply echo the escape
string in the shell rc file:
echo -n "\033]0;${USER}@${HOST}\007"
should produce a title like
username@hostname, assuming the shell
variables $USER and $HOST are set
correctly. The required options for
echo may vary by shell (see examples
below).
For information that may change during
the shell's lifetime, such as current
working directory, these escapes
really need to be applied every time
the prompt changes. This way the
string is updated with every command
you issue and can keep track of
information such as current working
directory, username, hostname, etc.
Some shells provide special functions
for this purpose, some don't and we
have to insert the title sequences
directly into the prompt string. This
is illustrated in the next section.