Leaving your admin username as the default (admin) is not exactly dangerous but you can make your installation more secure by changing it.
However, there’s no way within WordPress to simply change the admin username. One simple way is to create a new user with admin rights, then log in as that admin and delete the original user. Doing this is straightforward – click on the users panel in the admin area and click add new.
There’s also this plugin that can do it: http://wordpress.org/extend/plugins/wp-optimize/
Or if you’re happy messing in PhpMyAdmin you can simply edit the appropriate row in the _users table