In Left 4 Dead 2, is it possible to rename my player?
Addendum: the name in-game as seen in the HUD.
eg. as others see your name http://i.imgur.com/0dc9W.jpg Sebitar, future-trance, Chrsyalid..
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The name that appears over your head and in the HUD to identify you (as the player) from the other players is the same as the name you select for your Steam profile. If you change that name, it will change the name that displays in-game. This is true for many Steam games, even those not by Valve.
You can take a look at this question for instructions on how to change your Steam name.
If you are talking about Ellis, Rochelle, Coach, or Nick, then no, you cannot change their names. The voiced dialogue of the characters in the game refer to those characters by name, and I'm afraid technology hasn't come quite far enough to adjust that on the fly. Their names are set in stone.