If you change the date format for WordPress (Settings > General > Date Format) then The Events Calendar should respect that setting.
You can also override the format within The Events Calendar, so if for instance you want to use something like 25 March 2013 across your site but 25 March 2013 (Monday) in the upcoming events list then you would need to override the upcoming events template. Before you do this, please do take the time to read up on the ins and outs of templating:
The idea would be to customize your custom events/list.php template and wherever you encounter the following piece of code:
echo tribe_get_start_date( null, false );
You would replace it with:
echo tribe_get_start_date( null, false, 'j M Y (l)' );