[Edi]

If you're talking about the names of the unit types, such as Blood Marshal, Hero, Ancient Shaman etc, you can change those by modding the unit and using the #name <insert name here> command.

If you're talking about the actual name of the individual unit, such as Burkhard Nachtzehrer, Raterik or Kabti'ili (to go with ones that fit the abovementioned unit types), you can't. That's because the national hero units are spawned differently than recruited commanders, and part of that spawning process is name assignment according to unit ID number. You would need a patch to the game to change them.

There are some units (Master of the Games for Pythium, Knight of the Stone for Man and Member of the Third Tier for BF Ulm) that are semi-unique, meaning that you can have only one of them at a time, but if they get killed, you can get another one of the same type later on. The semi-unique units have randomly assigned names.

For graphics, see what Endoperez said.

Edi