How to remove or customize “Comment” in comments form?

If you want to remove it, then find the part of your template file (probably index.php or loop.php) which refers to a comment-template and remove it, and also disable commenting in WordPress-settings (to disable use of comments.php from other pages).

If you want to style it, look for comment_form() or a similar function in functions.php (TwentyEleven calls it twentyeleven_comment(), and it controls the HTML output for the Commenting Form) and edit the HTML as you want. Then add any styles to style.css to change the appearance of the form (explained here: http://codex.wordpress.org/Styling_Theme_Forms#The_Comments_Form).