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Im Guessing you mean for Bluetooth connections ?? if so then
Settings > Wireless and Network > Bluetooth Settings > Device Name
If its the name that's displayed in Kies
Connect phone and run Kies in the top left where it has the phone name, click on that and when highlighted manually chnage the name to wha you want it to be
Down the bottom of the market click "My orders & Devices" then "Devices" tab.
Here you can change the name that shows up on the Market installation page
Thanks a lot for that.Im Guessing you mean for Bluetooth connections ?? if so then
Settings > Wireless and Network > Bluetooth Settings > Device Name
If its the name that's displayed in Kies
Connect phone and run Kies in the top left where it has the phone name, click on that and when highlighted manually chnage the name to wha you want it to be

I changed Device name a in Bluetooth setting Thanks
But how to change Device name that shows up when we make our phone as Hot spot
Please
In ICS,
Settings/More/Tethering and portable hotspot/Configure Wi-Fi Hotspot/Network SSID.

How about changing the WIFI netbios name on the phone?
I see my phone on a WIFI router devices list such as android-f4a558db590xxxxx
This has to be done on the router I think, at least on my Home Hub 3 it did, you can rename it in settings> home network I think.