ifconfig eth0 hw ether 12:34:56:78:9a:bc
eth0 is the interface - you can change most. You might have to do ifconfig eth0 down first, change the address, then bring it up (and re-dhcp etc).
The default MAC is burned into prom. Almost every card has a MAC register that can be used to override the prom address. S/MAC on Windows can do this but Windows and the network drivers are often more limited. The above ifconfig worked on almost every linux system I've tried.