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When you receive your new account, you will get an email that tells you which machines you can log in to, your username, and a unique temporary password. Since this password has now been transferred via email (and potentially read by someone else), you should change it as soon as possible to something that you can remember.
On most unix machines you change your password using the "passwd" command. Simply enter the command, and it will prompt you for your old and new passwords.
It's very important to pick a good password. The majority of computer break-ins occur as a result of passwords being guessed, overheard, or even given willingly. It becomes a very big problem if any account gets compromised, since it's much easier for an attacker to gain access to the entire machine once they can get a command line.
This is why you should never share your password with anyone, write it down anywhere, or send it across a network unencrypted. Email, telnet, rlogin, and ftp all traverse the network with no encryption, making it very easy for anyone along the way to record your password. SSH is an alternative to telnet and rlogin that encrypts all communications, as well as adding some other benefits.
It's actually surprisingly difficult to pick a password that's difficult to crack while still being easy to remember so that you won't need to write it down. Programs that take a password hash ("encrypted" password) and try to guess what the password might be have gotten fairly complex. The increasing speed of computers also means that many more combinations can be tried.
To give you an idea of how to pick a good password, here's a description of what it will have to stand up to:
A password cracker works by taking large dictionaries of words, names, and terms, encrypting those terms, and comparing the result to your encrypted password. It will also try things like combining words together, adding numbers or other punctuation, and trying "1" for "i" and zero for "o". Dictionaries and word lists are widely available for this purpose.
To make sure our users' passwords aren't vulnerable to cracking, we regularly run a password cracker with many different types of dictionaries on all of the accounts, and notify users if their passwords get guessed. Here are some examples of passwords that have gotten cracked in the past:
!jazzed e1nste1n
.sanchi letmein!
4rasta reznikov
4yuriko satchmo1
abc123 turm01l
balrog7 zwenxia1
cookies.
Finally, here are some techniques that seem to be effective for choosing good passwords: