You can use a constant like
COMPONENT_OPTION_FIELD and define that constant in your language ini file like this:
COMPONENT_OPTION_FIELD="Select Custom Option"
You can also go to your administrator panel, then go to
Extensions > Languages > Overrides
On Overrides page, select the language you want to override the text and click on New. On the right side, there's an option to search the value which is "Select an option" without "" and make sure "The Search For" option is set to "Value" and click on search. Click on the result you got and it will be added to the Language Constant field on the left side, then, in the "Text" input, you change the text to "Select custom option" or whatever name you want to and click in save.
You can also change the field list in your xml file; change it to, for example:
<field name="mylistvalue" type="list" default="Select an option"
required="true" label="Select an option" description="">
<option value="0">Option 1</option>
<option value="1">Option 2</option>
You can change "Select an option" and "Please Select" to whatever value you want.
The same thing can be applied to a field of type SQL
label="Select an article"
query="SELECT id AS value, title FROM #__content"
change "Select an article" to whatever you want. You can even populate the default value with a database record by just changing
default="Select an article" to your column name.