Whoa, it really differs from country to country... So you have to go to the court in the US? Whoa... And in Scotland, it's so simple! o:
Here, you have to send a form, and if it's a name of the other gender, you need an authorisation from the psychiatrist/other saying that it's a legitimate change and you're TS and stuff... Or maybe you just need that because you don't have the usual prerequisites of having a serious reason like having a ridiculous name, one that's foreign and hard to pronounce or having used a different name for at least 5 years...
So far, it's easy, but the annoying part is the 4-month delay (so you reaaaally must plan out in advance the date you go full-time, assuming you don't want to be without your name officially changed)... and the fees of over 300 $.
What's worrying me is that there's a legal requirement to publish an announcement of the name change in a local newspaper, plus having it officially published in the province's official gazette... Which might be outing material eventually. I'm not overly worried, because I'd guess people would have to really search, but let's say I'd prefer it not being so.