Being in the previous Beta Weekend, I found out that Elder Scrolls Online even lets you choose a first and a last name. WoW really is lightyears behind, in this single aspect. Not bad, IMO. But, still, it'd be nice.
Only problem is, this kind of a change would require an extensive overhaul of some behind the scenes tech, something that they'd have to dedicate a lot of time to do. Other games do it because they were made that way, WoW wasn't made that way, therefore infrastructure must be overhauled to do it. That = big change.