Shannon Hyer wrote this in one of the documents and I feel like its one of the most commonly asked questions for newly married girls. So here it is :)
Step 1. Go to the social security office.
Documents needed: SS card, Birth Certificate, Marriage License
Location: Google SS offices, and you should be able to find one nearest to you.
Step 2. Go to the drivers license division.
Documents needed: SS card (they'll take they paper the SSA will give you saying that you've changed your name), Birth certificate, Marriage License.
Location: If you're over 16 (which I sincerely hope you are) you've been to one before so you should know where it is. If not, google know where it is :)
Step 3: Go to the county clerk if you need to change your name on your passport.
I had to do this step through the mail and it was the biggest pain of my life. County Clerks make it super easy.
Documents needed: SS card (and the paper thingy again if your new one has yet to come in the mail), Birth certificate, marriage license, check book/cash/credit card for payment, and passport picture.
Step 4: Change your name on your insurance.
I actually don't know how to do this one, since I have yet to do it. Soooo you're on your own with this one until I get around to doing it. If anyone else has done this one please post how its done!