How can I change the page title for user/login for unauthenticated users? In D7, we need to modify the page title for the user login page (shown when users have not yet authenticated).

The default value is 'User account', and it is set in 'user.module' line 1965:
    return user_is_logged_in() ? t('My account') : t('User account');

It appears as the page title for the paths: 
  user/register
  user/password
  user/login

This is how it is eventually rendered:
    User Account

To override the value for an authenticated user, we can simply implement

function MODULE_username_alter(&amp;$name, $account) {
 $name = 'New Name!';
}


But how to override that value for unauthenticated users?

It seems like it should be done in THEME_preprocess, but I can't seem to find the attribute to set.

I implemented page--user--login.tpl.php, and see there that it is somehow part of $page['content'], but can't find the attribute to set.
You have alot of good information there (seriously). What you want to do is probably use hook_form_FORM_ID_alter() on the user form.

You want to set the #title attribute of the form element for the name element of the login form.

Some example code:

function MYMODULE_user_login_form_alter(&amp;$form, &amp;$form_state) {
  $form['name']['#title'] = 'Your Nickname:';
}


You'll probably want to check that a user is not logged in yet with something like user_is_logged_in() or your own custom logic.