Chicgeek's reference shows that this has been discussed before.
Can I add that it would be nice, but its bad enough with people changing their avatars all the time, let alone their names too. How would you keep track of who is who. Its probably best the way it is, maybe there should be a warning when you join to say you will be stuck with that name for all eternity.
But then again maybe that is why some people eventually leave, they are just fed up with their name.
But if its allowed I would like to change mine to something a little shorter. I think I would like to be a Vinny for a while.