In WordPress 3.0, it looks to me like the “Leave a Reply” text is generated in line 1171 of comment-template.php, which is in the wp-includes directory. That text seems to be inserted into the h2 tag in line 1527 of the same file.
In the twentyten theme, all that seems to be called by the comment_form() function in line 77 of the comments.php in the themes directory.
Hope that helps.