It depends on the medium.
Console games: I pretty much allways use Craven Morhed for male characters, and Hoopy Frood for female characters.
DnD: I usually try to come up with a cool realistic name for my characters. There are a few names iv reused as both a player and a DM when i figured no one would notice. Iv used Siinj for both characters and towns. Mir, Jasper, Good Jack, Evil Jack, and Tekuri are a few. One time i named a character Xeph Longhorn (a half dragon bbn) and with no knowlege of that fact, another player named their character Mishta Hornblower. There are some naming conventions that have cropped up, like giving swarthy characters the last name Peppers, or naming half-orcs after presidents.
MMOs: I have a huge list of potential names that i think are terribly clever. I try to make them apply to my characters race, class, or both. A lot of the names on my list are just references to shows (mostly Adult Swim). I named a Warforged Barbarian "Murdertrain A'Comin". I named a Sorcerer "Radstone Mage" a reference to an esoteric term "Madstone Rage" that exists in the game. I had a speedy little dual-weilder named "Slashdance". In this game archers were considered gimped, so i made one named "Noghud Namesleft" (so in the party screen you just see that im an archer named Noghud, but when you see the name hovering over my head you see the whole thing). I named a halfling monk "Fishsticks In Your Mouth", that one is pretty base. I named a rogue "Cashmoney Hundredaire". I named a paladin "Handsomedan The Cookie Man". I named a Warforged Wizard "Tinnn Wizzy". I was pretty proud of that one. Oh, and you'll never guess what chestnut the guy who took Tin (with 1 n) used for a last name. I made a black human cleric with pink corn rows named "Beasler". I just thought it was funny, not really a reference to anything but a homebrewed deity. The character itself was 1337 too, as my second (and therefore perfect

) build of the most broken class (cleric [in DDO]) with twink gear and epic raid loot pulls. Hmm, lets see. The only WoW character i capped was a Mage named "Baysplosion". My alts were a paladin named "Busterhighman" and a Priest named "Skypilot". Oh, lets not forget the cleric that preceeded Beasler, "DrRokso the Rock'n'Roll Drow". I had another good metalocalypse reference with Zazzz Blammymatazz. I wanted to get the Forgotten Realms reference in there too by spelling the first name Szazz, but it was taken. Thats all i can think of for ones that actually got used.
My friend used "Slapchop" for a Warforged dual-weilder. Another guy made a rogue named "Chickenbone Shiv" and a Warforged Barbarian named "Cleavon".
Edit: haha, i almost forgot my character in the game i am actually currently playing. My character on EVE Online is named Harry Balsagna. That one comes from George Carlin.
Heres some good ones from the list.
Bard Names:
Gift of Gab
Ronnie James Dio
Dewey Cox
Isthis Thingon
Wesley Willis
Dwarves:
Cotton Hill
The Scotsman
Spies etc:
Halfwold Halfblitzer
Homer Thompson
Anderson Fkn Cooper
Rusty Shacklefurde
George P. Burdell
Darcel Jones
Wizards etc:
Raven Feeblement
Eve Oaker
Magic Super Crippler
Magic Johnson
Hunters, Assassins etc:
Tyrone Noose
Rogues/Skillmonkeys:
Handy Jay
Dirty Von Dbag
Snakeoil Salesman
Misc:
Phil Ken Sebben
Clay Moore
Scrambles the Death Dealer
Sir Phobos
Sir Deimos
Pullen Abindo
Heywood Jablomey
Sekzokyushnr
Brawndo
Charles Foster Offdenson
Pastor of Muppets
Barnaby Jones
Ray Pierre
Shake Weight
Bill Hook