I changed my name a couple years ago on the stackexchange family of sites. It was an overall good experience.
I would share links to my answers to my facebook friends and coworkers, but I don't. This is because they might see a comment @'ing me and that would reveal my previous name to people that don't know it.
I know I'm not the only person to have this issue and it would be nice if there was some way to change the comment text - either changing or removing the @'ing.
Edit: When an account is closed, the user name changes to a generic one: user35135 - When this happens, @'ing in comments are automatically edited with the generic name. It seems to me that the code to do the rename in comments already exists.