So I tested this quickly just by initializing the form and printing it out to the terminal I copied your form code exactly and called as follows.
myregform = MyRegistrationForm()
print myregform
This return the following response in terminal
<tr><th><label for="id_username">Username:</label></th><td><input id="id_username" maxlength="30" name="username" type="text" /><br /><span class="helptext">Required. 30 characters or fewer. Letters, digits and @/./+/-/_ only.</span></td></tr>
<tr><th><label for="id_email">Email:</label></th><td><input id="id_email" name="email" type="text" /></td></tr>
<tr><th><label for="id_first_name">First name:</label></th><td><input id="id_first_name" maxlength="30" name="first_name" type="text" /></td></tr>
<tr><th><label for="id_last_name">Last name:</label></th><td><input id="id_last_name" maxlength="30" name="last_name" type="text" /></td></tr>
<tr><th><label for="id_password1">Password:</label></th><td><input id="id_password1" name="password1" type="password" /></td></tr>
<tr><th><label for="id_password2">Password confirmation:</label></th><td><input id="id_password2" name="password2" type="password" /><br /><span class="helptext">Enter the same password as above, for verification.</span></td></tr>
As you can see the first_name and last_name is displaying so my best guess would be that it has something to do with your template processing code. Maybe if you could also post that here I can have a look.