When exporting to Excel, you can set the first sheet name with the Report -> InitialPageName property:
Further sheets are triggered by page breaks, and in SSRS 2008R2 and above you can name sheets using the PageName property. This can be set in various locations where page breaks can be triggered, e.g. a Tablix:
Or a group within a tablix that has page breaks between group instances; here you might make it expression-based with a field in the report:
See Worksheet Tab Names for more information.