From my chat with a Microsoft support rep today:
Welcome to Microsoft XBox Support
The XBox Chat session has been accepted. This chat session is being recorded for quality monitoring; your IP address may be traced.
{Mylene} Welcome to the Xbox North America Customer Support! My name is Mylene.
{Mylene} Hello Aaron
{Aaron Benson} Hi
{Mylene} I understand that you want to change your gamertag, right?
{Aaron Benson} yes
{Aaron Benson} How do I do it?
{Mylene} Unfortunately we are unable to change the gamertag you created when setting up your Xbox Live account.
{Aaron Benson} umm
{Mylene} he only way to have a new gamertag is to create a new account by providing a new set of subscription codes
{Mylene} The*
{Aaron Benson} That’s ridiculous. I paid for my account with a yearly subscription, so I’m stuck with that name for that whole time?
{Mylene} This is one of the key features of Xbox Live that sets it apart from other online gaming services.
{Mylene} I’m sorry for the inconvenience
{Aaron Benson} You don’t allow people to change their name, and you’re calling it a feature?
{Aaron Benson} What’s the benefit?
{Mylene} In order to maintain the community on Xbox Live, we need to have gamers maintain a permanent, unique identity on the service.
{Aaron Benson} Great. Well, maybe my Playstation will let me do it when I buy one.
{Aaron Benson} Thanks for nothing. Microsoft sux.
{Mylene} It was a pleasure chatting with you today. Thank you for inquiring about Xbox. If you need further assistance, please come back and visit us again. I hope you have a nice day!