Right, Gambit's full name is Remy Etienne Lebeau, though Lebeau is his adopted name. It has been rumoured that he could even be a 3rd Summers brother, alongside Scott and Alexander, but this was only a brief allusion and I really hope it goes unexplored.
Rogue 99 times out of 100 refers to herself as just that, Rogue. However in the Xtreme universe her forename is revealed to be Anna, in the movies Marie. This indiscrepancy is resolved if you read her solo comic, where you discover her name is actually Anna-Marie. On the few occasions where her surname is used it has altered, maybe due to her reluctance to reveal it (Any of you given a false name or number to someone you weren't sure about?!), but since interraction with her foster mother, Mystique, she has taken to using her forename, Raven, as a surname.
Going the other way we have mentioned Katherine Pride going by the codename Shadowcat and also Sprite, but she has also gone by the name Ariel for a time. Each of these incarnations had a different costume and hairstyle, and were part of her exploring and discovering her identity as she progressed through adolescence.