To change the passphrase on your default RSA key:

➜ ssh-keygen -p
Enter file in which the key is (/home/kenno/.ssh/id_rsa):
Enter new passphrase (empty for no passphrase):
Enter same passphrase again:
Your identification has been saved with the new passphrase.

Note that if you have more a different key, you can either supply it at the “Enter file in which key is” prompt or provide this file to the ssh-keygen argument with the -f option. E.g.:

➜ ssh-keygen -p -f ~/.ssh/id_dsa

Another thing to note is that if your RSA/DSA key has an existing passphrase set, you’ll be prompted, otherwise, you’ll be only asked for the new passphrase as in the above example.

You can learn more by checking the man page: man ssh-keygen.