I don't believe so, but hopefully somebody out there knows something I don't. There isn't a way to do this in gmail either, and with the contacts being integrated, it's a problem with both. You might be able to manually edit each one in gmail, or export them as a csv file and switch the first/last name values and import, but that seems like quite a bit of work for such a simple deal.
The problem is that gmail only has 1 name field so whatever you put in that field is how it will sort on your droid initially. If you store your contacts in gmail as "last, first" then that is how they are loaded into the droid. The problem I have is that after the initial load something has switched some (not all) contacts to "first last" format. I find it hard to believe that an organization like Google can't offer something as simple and standard as sorting of contacts by last, first.