PSN name change update - The most awaited feature of changing online id on PlayStation Network is available now. The feature is right now available in North America, Europe and Australia for all PS4 users but unfortunately, this feature is unavailable on PS3 and PS Vita. You can change the name of your online id as many times as you want. In the first attempt, it'll be free but after that it will cost you around $10 / £8 or $5 / £4 for PS Plus subscribers. Sony has already warned us about the damage we can do to ourselves by changing id. I'll personally recommend not to change it but if you change it you may lose saved games data or items you recently purchased like games, add ons, themes, etc. Games like Fortnite and Destiny 2 are tested and will be problem free. Soon, it will be available globally. By contacting PlayStation Support you can also revert your previous id. Nobody else will be able to take your old id even if you change your id again. Sony said, "not every game will support this feature". You can see the full list of games which supports this feature on PlayStation Website.

In, 2019 we can see PSN name change feature in every country 

 Here's how you can change you PSN ID
1) Go to Settings 
2) Then Account Management
3) Then Profile
4) Online ID
Proceed further to change your online id though it will warn you about the errors you can face after changing the id. But it's totally your wish if you don't care about the errors and your online id matters more then you are good to go.

 List of games on PlayStation Website
https://www.playstation.com/en-in/get-help/help-library/my-account/access-and-details/change-online-id-games/