Contact your insurance company (Car, Life, Home Owner’s, Renter’s, etc.) to change your name on all of your active policies. They will likely need a copy of your marriage certificate as well. (Also, don’t forget to have your wedding ring covered on your home owner’s/renter’s insurance. All they’ll need is a copy of your appraisal.)
Keep in mind that you should at least notify your governmental insurance holdings (flood, etc.) of your name change, though they should be automatically updated once you change your name with Social Security.
Some common companies are:
Geico www.geico.com
Allstate www.allstate.com
Nationwide www.nationwide.com
Travelers www.travelers.com
State Farm www.statefarm.com
AIG www.aig.com