I don't think you can change _ unless you want to edit the source. The node.js REPL appears to be implemented in lib/repl.js; if you poke around the library a little bit, you'll see things like this:
self.context._ = self.context[cmd] = lib;
self.outputStream.write(self.writer(lib) + '\n');
and like this:
self.context._ = ret;
self.outputStream.write(self.writer(ret) + '\n');
The self.context object is the REPL's global context or namespace (similar to window in a browser) so self.context._ = ret; is equivalent to saying _ = ret from the REPL's prompt.
So _ is hardwired and there's nothing you can do about it unless you want to hack the node.js libraries.