To change password of current user just type:
sudo passwd
It will ask you to enter your current password:
[sudo] password for <user>:
And then you will be asked to enter new password:
Enter new UNIX password:
And finally you will be asked to re-enter your password:
Retype new UNIX password:
Note: By default, the keys you press at a command-line password prompt are not displayed at all. They are, however, still registered.