Hi Tyler,
It comes from a resource file so it can be localized. Right now the only way to customize it would be to edit the /App_GlobalResources/ContactFormResources.resx file
but customizations there would be lost on upgrades when the file is replaced so there would be some maintenance.
For a fancier contact form, my Form Wizard Pro product could be used and it supports custom thank you messages.
Best,
Joe