Microsoft Knowledge Base Article 250455 contains the following summary:

When a new user is created in Active Directory, the Full name field is always generated in FirstName LastName format. In turn, this field sets the Display Name field on creation, therefore, you end up with a FirstName LastName formatted global address list.

You can make this change by using the Adsiedit utility. Adsiedit not only changes the default way the Display Name field is built, but also the Full Name (that is, the "cn") field, therefore, users appear in the chosen format when you look in the Users and Computers snap-in.