Cómo generar un campo de incremento automático en la consulta de selección

Si es MySql puedes probar

SELECT @n := @n + 1 n,
       first_name, 
       last_name
  FROM table1, (SELECT @n := 0) m
 ORDER BY first_name, last_name

SQLFiddle

Y para SQLServer

SELECT row_number() OVER (ORDER BY first_name, last_name) n,
       first_name, 
       last_name 
  FROM table1 

SQLFiddle