What changes when you get married for the first time?

In terms of what? Since you asked this in a law forum (I moved it from Other Law), I assume you mean from a legal standpoint.

Taxation can changed, there may be community property laws, you can be covered by your spouses health insurance and vice versa.

So what is it you really want to know?

How do taxation change.

We can still file seperatly if we need to correct?

Do I have to take his last name..

You can still file separately, but there may be advantages to filing jointly. You do not have to take his name if you don't want to.