How to change the unit for product weight in Magento?

The default weight is nothing at all. To change it, edit the weight in the backend. To change the "default", edit the shipping methods that calculate weight to use a different default.

The weight unit is whatever is being used for shipping. You can sometimes control it in System > Configuration > Shipping Methods. For example UPS has a choice of Lbs or Kgs; For FedEx there doesn't seem to be a choice, I assume it is fixed as Lbs on purpose.