Use the name on your most recently issued social security card. Remember, your filing status for your 2016 taxes *will* *be* *single*.
Now remember, a prior year tax return can not be e-filed. The IRS says so. You have to print it, sign it and mail it to the IRS. Since it will be processed by hand by a human, chances are good they'll screw things up because of your name change/marriage in 2017. So I would recommend that you also include a "certified" copy of your marriage certificate that clearly shows your original last name, and the date of your marriage.
So when you sign and date that 2016 tax return, insure the date can be clearly read so there's no doubt why you're signing with the name you are required to use since the date of your marriage.