Total Makeover for 12 lp allows you to change your sim's name. I personally think it's expensive for something so minor, but whatever.
I've done it twice: once when I realized I was constantly confusing Juan and Johnny (they look similar in addition to their names being basically the same), so I renamed Juan to Diego. The second time I changed Johnny's last name when he moved out of his roommate's house so he could regain his Native American identity.