AFAIK, the ONLY way to change your name in TF2 is to change your SteamID. Using the "name xxxx" command in the console won't do anything. Hit Shift-Tab during the game and go to settings, and somewhere on that menu will be an option to change your SteamID name, which will change your TF2 name as well.
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Bioshock, Crysis, Quake Wars, HL2:Episode 2/Portal/TF2, Gears of War PC, Unreal Tournament 3... it's going to be a good Q4. :-)