Currently, there is no default option to change your user name, as a user. This is something that I believe is planned for XenForo 1.2
However.... You can open a ticket and the staff will be able to do so.
A word of caution though.... This is a privilege and not a right. Respectfully, that means be sure you like the name you pick. Because it is not something the staff will do at a drop of a hat, nor should they.