For some reason, Ubuntu as the dynamic terminal titles disabled.  To enable them follow the following steps:
Open /etc/bash.bashrc for editing.
Around line 23 is the code you want:

23 #case "$TERM" in
24 #xterm*|rxvt*)
25 #    PROMPT_COMMAND='echo -ne "\033]0;${USER}@${HOSTNAME}: ${PWD}\007"'
26 #    ;;
27 #*)
28 #    ;;
29 #esac

Uncomment it and save the file.
That’s it.
(Answer was found at http://ubuntuforums.org/archive/index.php/t-78459.html)