[Full Metal Jackass]

I have the HTC Desire Z, no problem importing the phonebook. What you might want to do is open PEOPLE, press MENU then VIEW. Here at the top you will see options to sort contact list by last name or first name and view contact name as last name first or first name first. Once selecting don't forget to press DONE or it won't accept your selection, pressing BACK means it discards the changes

 

[Full Metal Jackass]

I have a wildfire, essentially the same as a desire but lower res screen and slower CPU.
As Therock states no issues but my names also displayed surname first despite phone being other way round!
There is a setting in the MMI to import contact, not sure if I had to do this first time, might be worth a try!

The issue here is that the phone book is set up in a particular manner. The names are displayed on the phone according to how you have set the phone up, ie, first names first but exporting the phone book means the names will be sent out as they are stored. So if you selected to show first name first, the phone will SHOW the first name first but the list will be still sorted Last name first. AFAIK you will need to select SORT CONTACT LIST as first name first to export it correctly....