Yes, you can change the 'wp-admin' slug to something else for security reasons or personal preference. This is typically done through a security plugin like 'iThemes Security' or 'All In One WP Security & Firewall'.
These plugins allow you to change the URL of the login page, which effectively changes 'wp-admin' to a URL of your choosing. However, note that changing this URL doesn't change the actual directory on your server, it only obscures the path for outsiders.