How do you pick names for your characters?
I covered this briefly yesterday with the story of Hal Duran, here. For that I just chose two names that I thought sounded cool and made the characters first name and the second their surname. It only turned out to be a cool "in joke" name after the fact. Depending on the genre, the game length era its from I choose different names.
For four color supers its important to have rhyming or sound alike names or aliteration. My supervillain for Necessary Evil is called Darklight. Darklight because he is a lantern weilder in the style of Green Lantern and Sinestro. Where does the rhyming come in? With the civillian Identity of Dr. Marcus "Marc" Wright. For our Gamma World game I made a fiery leader with a temper named Paul Cano which sounds like volcano when you say it fast.
One way I like to name characters is to brainstorm random words, write them out on a sheet of paper and sound them out string them together put different emphasis on syllables and recreate sounds you like with new spellings.
For D&D one-shots I use the random name generator on DDI until I find something that matches my character concept.
Another way I like to name a character is through play. Come up with a title or a nickname and then through play find the characters history by connecting yourself to other NPCs. is there a family in distress who needs the party's help. Take their surname and say that your character is a distant relative arriving in time to save the day. Thus creating backstory on the fly and a name approriate to the setting.