This jaunty Celtic surname -- the most common family name in Ireland -- is totally viable as a first. Although there was a possibility of its being feminized via the old TV sitcom "Murphy Brown," it has never taken off for girls and very much retains its masculine image.
There have been countless notable surnamed Murphys, including the currently prominent Eddie and Cillian. Murphy was the eponymous protagonist of Samuel Beckett's first published novel.
One possible negative: the association with Murphy's Law--if anything can go wrong, it will.