Okay...
If its a Fallout-esque game, I'm usually something bland like John, Harold, Jenkins, or Kickass McKillenstein (funny stories here).
If its an Oblivion-esque game, I'm usually something like Kinziel, Ziniel, Zeromaeus, or Sir Slashy the Slasher.
...
In Final Fantasy VII, I once went rhough an entire playthrough with everyone named Sephiroth.
Imagine the dialogue.
"Oh my God, Sephiroth is going to destroy the world. We have to help Sephiroth cast Holy to stop him. Sephiroth, Sephiroth, come with me. Sephiroth, you stay here."
"Materiaaaaa"
"Shut up Sephiroth"