I recently became an LLC and kept my company name. Most clients refer to me by my own name anyway.
I am now officially TPA TransCom Theatre Service, LLC. :grin:
Be aware that if you become a sole proprietor LLC you DO NOT have separation as far as the IRS is concerned, as you and your LLC are considered the same. Some states will still consider you and your LLC as separate entities though. You can file for separation with the IRS, but it's their call to grant it.
As was pointed out, a name change opens up a host of issues, notifying clients of the new name, new business cards, stationary, possibly phone number changes, etc.