I give my first name out to anyone I PM. I think it's the only polite thing to do. I definitely think it should be an option for users to display their first and/or last names for other to see, but this can easily be accomplished by adding it your signature. I do not think it's right to force people to display their real names. So again, if this is optional no one can complain.
Personally, I don't mind displaying my name for people to see.