I would legally change my name to Shalott. I've actually looked into it. But, in the end I decided to keep my given name, because it is a name that my parents thought carefully about, considered other options, and ultimately settled on, mainly due to my Dad's love of Audrey Hepburn and 50's, 60's, 70's era studio productions and Westerns. I want to remember him and my mom (who is still living!), and part of that is keeping the name they gave me.
It is also why I never changed my last name while I was married. My father only had one son, my half brother, and I just felt that I didn't want to let go of my family surname.
Fun fact - if I had been born a boy, I would have been named Johnathan Clifton. I'm not sad I dodged THAT bullet.