It's pretty close to that in Sweden, except that the name that you're called is not separate from the other names. The way it works is that when the name of a baby is registered (which has to be done within 4 months of birth IIRC) you mark which name is the one you'll be using. There's nothing to stop you from actually calling the child by a different name, but the name you mark is the one that will be used on papers sent to you (unless the full name is printed).
There isn't such a thing as a birth certificate in Sweden, as we became aware when moving abroad with a small child. The population register (now kept by the Tax Agency) has collected information for about four centuries (though there are big gaps until the 1700s, Wikipedia tells me), and anyone who needs to know something about you would get the information from them. I found a nice brochure (in English) about the population register at http://www.skatteverket.se/download/18.5cbdbba811c9a768f0c80002830/717b04.pdf
. But anyway, if you order a report about yourself from the population register, one of the "first names" will be underlined. I know someone who changed which name she goes by, but I don't know whether she actually had her official record updated to reflect it. I can imagine that you'd also have to contact your bank and such, though at least my bank picked up on my wife's surname change automatically when we got married.