try:
SELECT first_name + ISNULL(' '+last_name, '') AS Name FROM dbo.person
This adds the space to the last name, if it is null, the entire space+last name goes to NULL and you only get a first name, otherwise you get a firts+space+last name.
this will work as long as the default setting for concatenation with null strings is set:
SET CONCAT_NULL_YIELDS_NULL ON
this shouldn't be a concern since the OFF
mode is going away in future versions of SQl Server