This is normal behavior for most linux/unix computers. If you want to change it, edit the file /etc/hostconfig.
(go into terminal, type sudo pico /etc/hostconfig)
Here is how the top of mine looks:
# Network configuration
HOSTNAME=mach4
ROUTER=-AUTOMATIC-
So, just set HOSTNAME to whatever you wish. Its a good idea to make an intery inro netinfo about this, just add another property to /computer/macheins/127.0.0.1. I'm not at my Mac OS X computer, so you'll have to just give it a shot and tell us if it doesn't work.
To save a file from pico, which is the text editor lots of people use from the command line, press control-o (thats the letter oh). Then press enter. To exit, control-x.
If you have any more questions, please ask!