I can't stand my father, and I don't associate with his family. Accordingly, I've wanted to change my last name from his last name to my mother's maiden name since I was... oh, 14 or 15.
In Ohio, in order to change your name, you have to be 18 years old (or have the consent of your parents or guardians, which I certainly did not have), and have lived in the same county for some amount of time (either one or two continuous years). Last June, I finally decided that enough was enough, and filed a petition for name change with the probate court of my county. Did the other required things, paid the appropriate fees (wasn't too much, maybe a few hundred all told), and on August 7, 2006, my legal name was changed to the name I'd wanted for nearly a decade. My only regret is that I didn't do it sooner.
As for changing your name with entities... yes, you have to do that one by one. Your first order of business, immediately after receiving the court order, should be to go to the Bureau of Motor Vehicles (or your state's equivalent agency) and get a new driver's license or State ID. Every entity that I've changed my name with has required that I furnish my new State ID. In addition, banks and etc generally need original evidence (in my case, the court's order that my name be changed from X to Y). It's a bit of a pain, but it's not too bad. I also carried a copy of the court order in my wallet for about 6 months, in case I had forgotten to tell some critical organization, or if the State "forgot", etc. Never had to use it, but I'm still glad I carried it.