Why did St. Paul change his name from Saul to Paul?

I would be remiss were I to let this opportunity go by:

Jewish guy moves here from the Old Country, changes his name to Kevin Christiansen.
Crosses street, gets hit by car. Crys out, “God, how could you let this happen to me?”
God looks down [squinting] “Moishe? … Is that you?”

[Actually, Jewish name-change jokes is an established niche in the repertoire. Further examples provided upon request…]