Done hillariously in Give Em Hell Malone where Hardboiled private dick Malone as referred to as such by everyone... Including his mom.
Martin Riggs from the Lethal Weapon movies is always referred to as "Riggs", even though he calls his partner Roger Murtaugh by his first name.
Almost all of the characters in Alien and Aliens go by last names only. Ripley's first name (Ellen) was never stated in the original theatrical cut of either film, appearing only in a deleted scene from Aliens.
In fact, the original draft of Alien (included as a DVD extra in the Alien Quadrilogy box set) was written such that all the characters had no assigned gender.
With the exceptions of Carter Burke, Ellen Ripley, Dwayne Hicks and (possibly) Gorman, all the marines in Aliens have their actor's first name for their real one (e.g. Al Apone (Matthews), Jeanette Vasquez (Goldstein), etc)
In most movies about military squads, characters are referred to by either their last name or a nickname. The Alien example above comes to mind, as well as Predator (except Dutch, of course) and Saving Private Ryan (his full name is James Francis Ryan).
You'd be hard-pressed to find anyone calling Richard B. Riddick by his first name in Vin Diesel's series of action thrillers. Also true for (William J.) Johns and (Carolyn) Fry
In Pirates of the Caribbean Commodore Norrington's first name isn't even never mentioned in the first movie. Second and third movie reveal that it is James. Similarly, Barbossa's first name isn't mentioned until the third when Captain Jack Sparrow calls him "Hector," which is itself a Sure, Why Not? taken from an earlier interview with Johnny Depp and Geoffrey Rush when the former speculated on what Barbossa's name might be.
This is shown in the Disney movie The Great Mouse Detective: (Padraic) Ratigan, (David) Dawson, and (Hiram) Flaversham. This is possibly true of Basil himself, though neither the movie nor the books give him a second name.
Almost everyone in The Great Escape except for Roger (the leader), Colin (the forger), Danny, and Willy (the Tunnel Kings).
Pretty nearly the entire League of Extraordinary Gentlemen, except for Nemo (who doesn't have any other name) and Mina (most of the men address her by her first name, eventually).
In Inception, the characters often refer to each other by their last names — the main character, Cobb, is only called by his first name by his wife and father/father in law, another character only goes by 'Eames', implied to be his last name (there's even a fanfic about this), and the team usually refers to Robert Fischer as just 'Fischer'.
The Way Back has Mister Smith, who refuses to give his first name and is simply called Smith by most of his companions. Some of the ones with a shakier grasp of English think 'Mister' is actually his first name, and the sole child in the group uses it like it is.
In the movie Waitress Jenna won't call the man she's having an affair with by his first name, even though Dr. Pomatter (Jim) uses hers.
Taylor in Planet of the Apes. His first name doesn't even pop up in the film, it was revealed later. Brent is this as well in the 'Beneath' sequel, which also has Mendez. It might not have been a last name but more of a title among the mutants by the time of the film, but it appears to have begun as a last name (see Battle) 'Conquest' has Mac Donald and Governor Breck. 'Battle' has another Mac Donald and Kolp.
Highlander had Ramirez, and sometimes Connor would just be called Macleod.
Blade Runner is an interesting case. The human characters are usually called by their last names and replicants by first names, which serves to reinforce the point of how humans in the film tend to act cdistant and impersonal, and the replicants are more emotional. This also foreshadows Rachael's status.
