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.