Just to balance the recommendations - see how your brain reacts to a page like this:
http://www.fantasticfiction.co.uk/a/
This shows a list of sorted authors like calibre's default format mode of displaying as FN LN.
My brain completely freaks out and can't deal with it, I like to read left to right and not having the first character alphabetical is something it can't cope with when trying to look down a list to find an author when I know the list is sorted.
But others don't have a problem with it and want to see the names as they would be written on the spine of the book or would be read out loud, which is the default behaviour.
As calibre supports either option it is as others have said a personal choice - though life will be easier for you if you make that choice and set the various options for it before you start adding books to your library.