Ah, Columbus Day...a federal holiday here in the United States. Kids are out of school, bankers are running amok, and I'm wondering how 'Cristóbal Colón' became 'Christopher Columbus'.
The basic explanation of that is actually fairly simple. Columbus' name in English is actually an anglicized version of the Columbus birth name. According to most accounts, Columbus was born in Genoa, Italy, as Cristoforo Colombo, which is obviously much more similar to the English version than is the Spanish one.
In most of the major European languages, Columbus' name is similar to the Italian one: It's Christophe Colomb in French, Kristoffer Kolumbus in Swedish, Christoph Kolumbus in German and Christoffel Columbus in Dutch.
So perhaps the question that should be asked is how Cristoforo Colombo ended up as Cristóbal Colón in his adopted country of Spain. (Sometimes his first name in Spanish is rendered as Cristóval, which is pronounced the same.) Unfortunately, the answer to that appears to be lost in history. Most historical accounts indicate that Colombo changed his name to Colón when he moved to Spain and became a citizen. The reasons remain unclear, although he most likely did it to make himself sound more Spanish, just as as many European immigrants to the early United States often anglicized their last names or changed them entirely. In other languages of the Iberian Peninsula, his name has characteristics of both the Spanish and Italian versions: Cristóvão Colombo in Portuguese and Cristofor Colom in Catalan.
Incidentally, some historians have questioned the traditional accounts surrounding Columbus's Italian origins. Some even claim that Columbus was in reality a Portuguese Jew whose real name was Salvador Fernandes Zarco.
In any case, there's little question that Columbus' explorations were a key step in the spread of Spanish to what we now know as Latin America. The country of Colombia was named after him, as was the Costa Rican currency (the colón).