Is it possible to change the voice of the "say" command?

By default it uses the System Voice set in the Text to Speech page of the Speech panel of System Preferences. Otherwise, you can use the -v option with one of the named voices:

say -v Zarvox "found it in the man page"
say -v Agnes "found it in the man page"

man say yields this

  -v voice, --voice=voice
       Specify the voice to be used. Default is the voice selected in
       System Preferences.

You can permanently change the voice by changing the System Voice in System Preferences -> Dictation & Speech -> Text to Speech