• In Illinois, it costs approx $500. Though you have to go before a judge, it's mostly perfunctory unless you choose a really far-out name
• Getting important accounts changed over (bank, credit card, etc) may require that you get an updated Social Security card and driver's license. Once you get the credit cards changed though, it's often easy to get the rest of them changed.

Illinois laws

• within 10 days of changing your name, you're required to notify the secretary of state of the change

US law

• there's something akin to a "common law marriage", where just by using a name for long enough, it gains legal standing