Linux 2.6.x and Perl 5.8.8, don't know anything about other OS/Perl version combinations:

#!/usr/bin/perl
#
# start as:
#
#  shell$ perl changename.pl

use strict;
use warnings;

print "ok, let me start...\n";
system "ps afx | grep ^$$";

# Assign to $0 and the magic's done!
$0 = 'changed!';

print "it should have changed so far...\n";
system "ps afx | grep ^$$";

__END__

poletti@PolettiX:~/sviluppo/perl$ perl changename.pl
ok, let me start...
21058 pts/4    S+     0:00      |   \_ perl changename.pl
it should have changed so far...
21058 pts/4    S+     0:00      |   \_ changed!
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