Reminder, on Linux set password for the first time:

mysqladmin -u root password THEPASSWORD

Or, when there is a known password:

mysqladmin -u root -p password THEPASSWORD

Or, when using tables (first install or when password is known):

# mysql -u root -pBLABLA
mysql> use mysql
mysql> update user set password=PASSWORD("NEWBLA") where user = 'root';
mysql> flush privileges;
mysql> quit