"Leonard Cohen" sounds fine. That's what people call him. That's the name that was on the tickets, that's who the albums are by. But you can't use first name and surname every time you mention somebody, or you end up sounding like a search-engine spammer. So what's the alternative?
In some circumstances you can get away with surname only ("Cohen's music", or "Cohen himself", perhaps), but to me that feels like the wrong register; if I wrote that sort of review, it might sound less awkward, but as it is, it feels like patchy journalistic pastiche. First name only just makes me feel embarrassed, and as if I'm pretending to a closer connection than I have -- I don't know him well enough to call him "Leonard", let alone "Len" (though I could probably get away with one ironic reference to 'Laughing Len').
Then there's a whole raft of horrible clichés which could be pressed into service as overblown pronouns: "this living legend", "Canada's greatest export", or even just (as above) "the man himself".
But at the end of the day all of these weaselly workarounds feel either too embarrassingly clumsy or too coldly detached as a way of trying to talk about someone whose lyrics are so arch and so passionate, so constructed and so breathtakingly intimate. Perhaps the simple and concrete dilemma about his name serves as a metaphor for everything else I couldn't say.
You say I took the name in vain
I don't even know the name
But if I did, well really, what's it to you?
There's a blaze of light
In every word
It doesn't matter which you heard
The holy or the broken Hallelujah