This is an interesting topic for me. For years, I've been thinking about names, and fantasizing what I would like to be called. Every so often, I would get on the internet and search for girl names of my ethnic background. There is also the fact that my mother has told me she had both boy and girl names picked out for me, because they didn't know my biological sex until I was born. I would have loved to use the girl name she had selected, just to have a bit of an emotional bond with her, using something she had intended for me. But I really dislike like girl name she picked! I mean objectively. I also knew a girl in uni with that name who was a real piece of work.
It's funny, the names I had thought years ago as being an almost certainty don't appeal to me any more. Lately, I've been leaning more and more towards a different name, but still not fully decided yet. I like the sound of it on my tongue though.
But that wasn't your question, you were asking about last names. At the moment, I have no plans to change my last name. I can't think of any reason I might change my mind, but you never know what the future holds. In a worst case scenario, if my family is not supportive or overly venomous when I come out, I would consider changing it.
The only thing I'm waffling on at the moment is whether to take my father's given name as my middle name. In my culture, boys are typically given their own name, and the family name is the last name. On the other hand, girls are given their own name, take the father's given name as a middle name, and use the family name as the last name. For example, I'm "MyName FamilyName" whereas my sister is "HerName Father'sName FamilyName". I'm undecided whether I want to change to "GirlyName FamilyName" or "GirlyName Father'sName FamilyName". Maybe I'll ask him for his opinion when the time comes