If you are 18, you can change your name now. If you are under 18, you can probably do it now with a parent's permission. You can change your entire name if you want. There is no requirement as to a reason for changing your name, but depending on where you live you may have to speak to a judge or publish it in the paper.
Certain states require that you have SRS before they will update your gender marker. It varies. The link Devlyn posted should help, and if it doesn't, let me know and I'll fix it

You can certainly change your name to someone else's, but I personally think it would be distasteful to take a dead celebrity's name. Even though you can technically change your name as many times as you want, it costs money and you have to update all your documents every time. I would think long and hard about what you could live with being called for the rest of your life.