I had the most trouble getting this to work.  Many posts just didn’t do it for me, and so I’m writing this so I can remember how to do it in the future.

Backup existing motd file, which is a symlink:
sudo mv /etc/motd /etc/motd.bak

Create a new motd file, and add what you want into it.  EG:
sudo nano /etc/motd

After editing the file, restart SSH:
sudo /etc/init.d/ssh restart

And there you go!  Enjoy your new Message of the Day!