It is hard to change usernames on most sites, and I'm afraid I don't have many tips to offer on how to fix it. You'll probably just have to make new accounts for everything (I had to do this for YouTube; that was a pain!).
However, it's not as hard as it seems (unless it's YouTube or something similar, because then you have to re-favorite things, and establish your connections with friends again, etc.). You'll get through it pretty fast. Deleting old accounts can be hard, though. Sometimes you have to email the site owners/admin to get them to delete your account, and sometimes they won't do it (like Gaia forums, for example).
Also keep in mind that, at least on these forums, you can change your displayed name at any time.