Sometimes, for any number of reasons, a Wikipedia article should be renamed. Technically speaking, however, Wikipedia articles aren't really renamed. They are moved from one name, or file location, to another.
In many cases you can simply click "Move page" at the top of any entry and enter a new title—provided a good reason, of course. But if another page already exists under that name, or there is some controversy, you might instead need to propose a merge or request a move instead.
Moving pages is largely automated behind the scenes, requiring only a few steps on your part. However, sometimes things can be more complicated and additional cleanup is needed.
As always, it's important to remember that page moves must be approved by consensus of Wikipedia editors, otherwise your changes are likely to be reverted by another user.