Change TeX Live Main Repository
As detailed in the tlmgr help, you want
tlmgr option repository http://mirror.ctan.org/systems/texlive/tlnet
run as Administrator/sudo if your TeX system was installed in that way. The above points tlmgr to the mirror network, almost always what you want.
Joseph Wright's answer should be your go-to in most cases, because the CTAN mirror network tries to automatically guess which mirror is closest to you. This presumably works well in North America and western Europe, where mirrors are abundant; it unfortunately finds sub-optimal mirrors elsewhere in the world (relying on physical proximity). If you encounter a slow connection, you might wish to choose a mirror manually.
An updated list of official mirrors is available on the CTAN website. Use
tlmgr option repository <CTAN/mirror/root/URL>/systems/texlive/tlnet
to change texlive's default repository, or
tlmgr -repository <CTAN/mirror/root/URL>/systems/texlive/tlnet ACTION
to use a specific repository for a single action, without changing the defaults. ACTION may be any action you would perform with tlmgr, e.g. update --all.
The mirror root URL would be http://mirror.ctan.org/ for the automated mirror; to choose a different one, use the http link associated with the mirror you wish to use; For example, if the link to mirrors.rit.edu (Rochester, New York) is http://mirrors.rit.edu/CTAN/, so you would use
tlmgr option repository http://mirrors.rit.edu/CTAN/systems/texlive/tlnet
(NY is on the internet backbone, so this mirror happens to be a good one to try if you experience a slow connection.)