System-wide change
Open the file /etc/sudoers and simply add this line:
Defaults passprompt=" Password: "
You can change the passprompt as you see fit.
The change will apply when you start a new shell session.
Local change
If you want to change the prompt only to your user account, you need to export the SUDO_PROMPT env variable.
export SUDO_PROMPT="Custom prompt here: "
To revert the change, use the unset command.
unset SUDO_PROMPT
Show asterisks while typing the password
In /etc/sudoers, find the line
Defaults env_reset
and add ,pwfeedback in the end.
Defaults env_reset,pwfeedback
sudo that insults you for making mistakes
You can add this line to /etc/sudoers to make sudo insult you when you type in an incorrect password.
Defaults insults