The EFI is a chip on Apple motherboards that controls hardware-level input and output. It is the equivalent of BIOS on most PC motherboards.
The Apple startup chime is hard-coded onto that EFI chip, and it indicates that the hardware passed its equivalent of a POST test; it's not a software-enabled startup sound like in Windows. One would have to reprogram the EFI to change the chime.
Trust me, if there were an easy way to change it, I would've already changed mine to a quote from a particularly funny Apple "Mac vs. PC" ad:
"Mac has issued a salutation. Cancel or Allow?"
EDIT: There may be a third-party app for enabling sounds to be attached to Mac OS startup and shutdown, like Windows. Unfortunately, I can't think of any names right now, and they wouldn't replace the Apple chime anyway.