Pretty much what it says in the title. I can't find the setting to control the lenght of the dashed line showing the direction in wich the sun lamp points. I'm working with large geometries at times and the dashed line can become so short that it is inconvenient to orient.
You can scale the lamp actually, all though it also moves the offset of the start of the lamp.
You could always parent the Sun lamp to say, a single-arrow Empty, aligning the lamp to the direction of the arrow.
Bearing in mind the position and scale of the lamp will have no influence on its effect, (only its rotation,) it should be easy to find a convenient scale and location for the arrow for adjustment, and you can hide the arrow, too, without switching the light off.