Very true Banks and all utillty companies are getting very tight both due to laws and because of fraud.
Proof of address was the biggest hurdle i think we faced.
dont forget house insurance and ring up all the companies and explain the situation Women operators in particular are normally helpful even those who lived in the UK all their lives will have had problems with proof of address if they married...
Ask if they can send a letter confirming the change even if a bill is not due.
You dont need to change your name of course but from the last 5 years or so it has been far easier having the same family name in both countries.
For example on bills its far easier and expected often to put mr and mrs and possibly intials than two different family names from our own experiences and comparing with others both british born couples and those going though the visa process.