Login username: Sorry, it's not possible to change your login username. Luckily, it's not publicly visible, so you are the only one who will ever see it.
Subdomain: If you're an artist or label, you can change your subdomain (example.bandcamp.com) via your Profile page. Just navigate to your avatar in the upper-right corner and click "Edit profile" from the dropdown menu.
Fan URL: If you're a fan, you can change your URL (bandcamp.com/example) via your Settings > Fan page.