(For those who might not have seen it yet, my author interview for Kristell Ink: http://kristell-ink.com/new-kits-on-the-block-lindsey-duncan/ )
It always bewilders me when I come across authors who rename their characters deep into a project, sometimes more than once ... and even those who don't use names but placeholders. Then there's that famous tale about Gone With The Wind and how Margaret Mitchell originally named her heroine Pansy.
I have trouble wrapping my head around it because for me, character and name are intertwined. The act of naming a character crystallizes their identity. There's something magical in the act, which is actually quite appropriate to the significance of names in ritual: when you know someone's name, you have power over them. When I would ponder new character ideas in my roleplaying games, I used to joke that as soon as I came up with a name, I was doomed. That character would exist, regardless of whether I had the room to add another.
Of course, I've needed to change character names for one reason or another: sometimes I'll find that two names are similar enough to cause confusion, and in one case, I accidentally broke a naming convention I had set out for myself. When that happens, I try to preserve the feel of the name. Usually that means changing it as little as possible, but sometimes, it's simply playing around with syllables, visuals and flow until I find something that feels right. I might not even be able to explain why the old name and the new are analogous.
I think this may be a small part of why I enjoy secondary world fantasy so much: I'm not limited to names that have been used on Earth. I can pluck them out of the ether and find someone who maybe, just maybe, couldn't even be labeled with our names. Or maybe that's just a fantasy like any other.