Every time I see it, it's like fingernails on a chalk board. "da Vinci" is not Leonardo's last name; it's an appellation referring to where he was born. Calling him "da Vinci" is like calling Monty Python's fictional Johann Gambolputty de von Ausfern Schplenden Schlitter Crass Cren Bon Fried Digger Dingle Dangle Dongle Dungle Burstein von Knacker Trasher Apple Banger Horowitz Ticolensic Grander Knotty Spelltinkle Grandlich Grumblemeyer Spelter Wasser Kürstlich Himble Eisenbahnwagen Gutenabend Bitte einen Nürnburger Bratwürstel Gespurten mit Zweimache Luber Hundsfut Gumberaber Schönendanker Kalbsfleisch Mittelraucher von Hauptkopft of Ulm "Mr. of Ulm". That's what really drove me crazy about The Da Vinci Code, a novel with not only one, but two errors in the title ("da" shouldn't be capitalized).
Naming conventions in art history (and history in general) are complicated and often irksome because of these "of place name" names, particularly because sometimes families did eventually adopt these names as proper surnames (Rogier van der Weyden [Rogier de la Pasture in French] and Jan van Eyck come to mind). Other commonly known names are nicknames: Botticelli, for instance, means little barrel; his actual name was Alessandro di Mariano di Vanni Filipepi; Masaccio (Tommaso di Ser Giovanni di Simone) means big ugly Tom, to distinguish him from his colleague Masolino (Tommaso di Cristoforo Fini), or little Tom. Other names are completely spurious (there was no artist named Matthias Grünewald, for instance, and his real name is debated), while others are pseudonyms, like Hieronymus Bosch, whose real name was Jeroen Anthoniszoon van Aken.
But Leonardo? That's an easy one. Call him, simply, Leonardo, like you're besties with him, OK?
Edit: Some of these same concepts add to the problems of alphabetical ordering. Please file Rogier van der Weyden under W, not V, Vincent van Gogh under G, Leonardo under L, and Domenico Veneziano (Domenico the Venetian) under D.
UPDATE: My coworker David Brown commented, "Please add Sebastiano del Piombo to the list."