Actually, you are supposed to be able to change the startup sound by going through the following steps:
Settings --> Sound & Display --> Notification Ringtone
Then make a selection. The notification sounds for Email and Text Messages are set up through those respective applications.
HOWEVER, I have found that changing the startup ringtone to anything but the default "DROID" (or the other ringtones that came with the phone) just makes a series of "beeps" instead of playing the sound you selected.
I'm still trying to find a fix for this: "How do you set the startup ringtone to one of your personally downloaded sound bites AND have it actually play that sound?"
Dave.