Draw GUI in world space.

I want to "draw" the player's name near the head of the character. How can I do it? Or is it faster to use a child object? It's the same with drawing a health bar...

Use this script on the wiki, which uses GUIText objects. You can modify it slightly to use GUITextures for a health bar.

You could use a 3D Text object as a child object for your player (and make it face to the camera).