This is what I do.
SELECT FullName
FROM
(
SELECT LastName + ', ' + FirstName AS FullName
FROM customers
) as sub
GROUP BY FullName
This technique applies in a straightforward way to your "edit" scenario:
SELECT FullName
FROM
(
SELECT
CASE
WHEN LastName IS NULL THEN FirstName
WHEN LastName IS NOT NULL THEN LastName + ', ' + FirstName
END AS FullName
FROM customers
) as sub
GROUP BY FullName