After writing a blog entry on "How DO you change your SQL Login Password" and complaining that "neither" SSMS nor SQLCMD allows you to change this" I was using this feature on the June CTP and, lo and behold, both of these utilities allow changing your password.
SQLCMD -? shows
-z new password
-Z new password and exit
And in SSMS, if you use a SQL login whose password has expired (or is designated "must change on first login") you get a nice, GUI-based “old password/new password/re-enter new password” prompt.
Don't know how I missed this before, sorry for complaining. If you use SQL Logins with login policies, code like this really should be part of your application. Perhaps a way to change password before it expires as well, like SQLCMD does. I'm still surprised that SSMS doesn't have this option on the login screen.