Current executing procedure name

You can use OBJECT_NAME(@@PROCID)

Returns the object identifier (ID) of the current Transact-SQL module. A Transact-SQL module can be a stored procedure, user-defined function, or trigger.

OBJECT_SCHEMA_NAME(@@PROCID) + '.' + OBJECT_NAME(@@PROCID)

You may try this:

SELECT OBJECT_NAME(@@PROCID)

Update: This command is still valid on SQL Server 2016.