English Lan Di / Chang Long Ling Sha Hua Gui Zhang Tom Nozomi Shozo Mizuki
Japanese Shoryo / Rantei Shenhua Rei Kishou / Shou Tomu-san Harasaki Jei-san
Ok, I know a couple aren't real name changes, but just slight differences in what they are known as.
In the Japanese version, the vending machines were all Coca-Cola, with Coke, Diet Coke, Orange Fanta, Grape Fanta, and Sprite on sale. However, the English version had to make do with Jet Cola, and fake names.
If you put the Japanese CDs into your computer, there is hidden artwork in folders named "Omake".
In the original version, the passport disc allowed access to only the Japanese net rankings, not the worldwide ones. The US Shenmue release corrected this.
That is about it for differences, apart from localisation issues, such as English names appear when locked-on to a sign and there was a Kids Mode in the Japanese Version which had simpler Kanji.