From an AV Club interview with Donald E. Westlake, from 2006:
AVC: ...It's more than 20 novels into the series now, and we still don't know [Parker's] first name.
DW: Well, he wasn't supposed to be a series. He was supposed to be one book, and if he was only going to be in one book, I didn't worry about it. And then an editor at Pocket Books said "Write more books about him." So I didn't go back at that point and give him a first name. If I'd known he would've been a series, I would've done two things differently. First, I would've given him a first name—I don't know what the hell it would be, maybe Frank—but I probably wouldn't have named him Parker, because that means for 27 books, I've had to find some other way to say, "Parker parked the car."