None of the main characters of Magnum, P.I. were referred to by their first names*, and many other characters were referred to by nicknames as well.
"Magnum" - really Thomas Sullivan Magnum IV. *T.C. would refer to Magnum as Thomas, and was the only regular cast member to do so.
"Higgins" (sometimes "El Higgo" or "Pinkie") - really Johnathan Quayle Higgins III, Baron of Perth. T.C. normally referred to Higgins as "Higgy Baby". Sometimes called "Johnny" (particularly by family or elder female friends) which annoyed the hell out of Higgins. *Agatha, Higgin's closest female friend did call Higgins by his first name, Johnathan. When Magnum referred to him as Pinky - a nickname given to him by the West Yorkshire Regiment - Higgins really got pissed off.
"Rick" - really Orville Wilbur Richard Wright - Absolutely hated when T.C. and Magnum referred to him (occasionally) as Orville, as he made it known that he didn't like that name.
"T.C." - really Thodore Calvin.
"The Lads" - Duke and Apollo, Higgins's Dobermans. Collectively called "The Lads", but individually called by their correct names by both Higgins and Magnum.
Extra fact - Ted Danson, Star of Cheers (Where everybody does know your name) guest starred in Magnum P.I. - Season 2 - "Don't Say Goodbye"