I hate to break it to you guys, but as of now, you can't have a last name in WoW and you can't have a capital letter past your first name. I think both of these are stupid rules (in Closed Beta you can have a capital letter past your first name). There's not really a rule about not having a last name, but Blizzard hasn't suggested that there will be a surname ability, and there are currently no surnames in Closed Beta.
My Night Elf Priest will be Lasereth and my Night Elf Warrior will be Razerwind. I wanted to make my Undead guy Sick Jones, but it looks like it might not happen due to the aformentioned rules.
-Lasereth