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Perhaps the most basic service Blizzard offers is the ability to change your character's name. For a ten dollar fee, you can finally switch from that obscure joke of a name you originally selected to something more appropriately medieval.
Players are (obviously) unable to change their name to one that is already in use on the server, so make sure that your desired name is available before attempting the change.
After the change, your old name will be locked for use on your realm for 90 days, but then will become available to anyone creating a new character, so don't be surprised if you run into yourself somewhere down the line. Players can only change names once every 30 days, so you're stuck with your new moniker for at least a month, so make sure it's one you really like.
Your new name will be automatically added to any friends lists you might be on, and your friends list will not change. You will need to let everyone know who you are, though, as there is no notification process. Those who prefer to play WoW solo need not be concerned.
Unfortunately for those attempting to escape some past indiscretion, changing your name will not remove you from any ignore lists you might happen to be on, as they will be updated automatically.