My name was misspelled in a citation, what should I do?

In addition to sending an e-mail to the journal, as suggested already, you should check the most common academic databases such as Scopus and Web of Knowledge/Science and submit corrections to them so that they pick up the citation correctly. They have a form to submit this kind of corrections automatically; it will then take a few weeks to apply them.

People often (way too often, actually) rely on these databases to measure the performance of academics, so it is important that they don't miss any of your citations.

You may send an email to either the publisher, editor of the journal or even the corresponding author of the paper and inform them about the misspelling. They may edit the misspelling.