Function to change a label (Username) in a core WordPress File (wp-includes/general-template.php)

Try putting this in your functions.php

function wpse60605_change_username_label( $defaults ){
    $defaults['label_username'] = __( 'Username or Email' );
    return $defaults;
}
add_filter( 'login_form_defaults', 'wpse60605_change_username_label' );