Great thread -- I've also thought about this a lot!
Personally I think hyphenated names are a bit cumbersome, and would avoid them.
But wait! Lots more vapid opinion follows:
Changing the surname depends on what the marriage is all about. So read the terms of the particular marriage contract, make sure it is clear, and then think about it's uniqueness and fundamental nature.
1) If the marriage is for two independent individuals to become interdependent individuals with a lasting commitment, then no identity change is appropriate.
2) If it's for two people to start a family, a new family that both people draw a great deal of identity from, then synthesize a new family name for both. John Smith and Martha Jones might choose Smines or Joth or something entirely new that represents the spirit of the new family just created.
Rose, Rivers, Waters, Granite, Steel, Shoals, Green, Lightning, Freedman, Sol, ... Pick a symbol, any symbol will do.
3) If part of the marriage vow implies ownership and obediance, then by all means adopt the new owner's name.
4) If either/both person has a long-standing great commitment to anything else in the world, then use that as their last name.
Millions of people use their religion or philosophy: Jain, Krishna, Ananda, ...
Many folks take their life-long occupation as their last name: Cooper, Baker, Wright, Boxer, LaForge, ...
5) Consider one Native American method: When a child becomes an adult, they receive an adult name in a rite of passage, that reflects their personality. Stand-With-Fists, Dances-With-Wolves, Dancing-Bear, Sitting Bull, ...
In this way, a name can actually be an avatar come to life! But can this be applied to the non-native world? Mike Tysonjerk, George BushLiar, Madonna BadSinger, George ThoroughGood, ... The world would be simpler and easier to deal with! Such a name is sort of a psycho-spiritual marketting tool. So, what are you selling? What are you being? What do you want from life?
6) A name has powerful influence, on you and your peers. So get out there and make a name for yourself. It's a hassle, but people are free to change it at anytime so, like a tattoo, just go for it. But if I meet one more Sunshine or Rainbow I'm gonna puke!
7) When changing your name, please consider corporate sponsorship. It actually is the new "family" for our modern society. Nike executives commonly get a Nike Swoosh tattoo'd somewhere on their body. And why do we have to stop at renaming just stadiums and sporting events?
Jennifer Briggs got $1000 for changing her name to Obi-Wan Kenobi Briggs
Or, from Australia
... captain Garry Hocking told the Herald Sun newspaper that he had changed his name by deed poll to "Whiskas," a popular cat food.
The newspaper said that under the terms of the deal, which was said to be worth between A$100,000 (US$66,000) and A$200,000, Whiskas would make a "generous" donation to the club and a local animal welfare center.
And apparently it's for real
A man from England, has agreed to change his name to Mr Yellow-Rat Foxysquirrel Fairydiddle in exchange for a pint of beer. Richard James's friends all wrote stupid names on the back of a beer mat. They then paid 2,220B to change his name using their laptop. He got a pint in exchange. But James, who is unemployed, doesn't have the money to change his name back.
"It was funny at the time but now I'm brassed off with all the jokes," he tells The Sun. "I said I'd do it for a laugh if they bought me a pint. I enjoyed it for a while and had a credit card in my new name and informed my bank. But now I just want to be called Richard again."
Poor sod got stuck with a hyphen alright, but I guess everyone has their price!