By and large, sudo on Mac OS X comes setup with some sane defaults. But here’s two lines I add to my /etc/sudoers file on a fresh install:

Defaults        passprompt="%u@%h's password: "
Defaults        timestamp_timeout=15

The first line changes the password from something generic:

% sudo whoami

To something a lot more useful:

% sudo whoami
dave@fuji's password: 

The second line changes the time between needing to re-enter your password from 5 minutes to 15 minutes. This is handy if you’re confident you’re in a fairly secure physical environment, like an iMac at home, and you find sudo asking for your password too frequently. If you work in a more paranoid physical environment, you may want to keep the timeout at 5 minutes.

Remember to edit the file with visudo(8). Don’t edit it directly.

% sudo EDITOR=emacs visudo