Log in to your account, and select "Edit Profile" from the Account Settings menu. You can change your password from here.
If you have forgotten your password and are unable to log in:
Click the "Forgot Password" link on the login page. This will generate a temporary password, and will send this to the email address registered with your MyTicketmaster account. You will then need to input this into the "Password" field of the login page. Please note this is case sensitive and will not work if spaces are left before or after the password.