It depends. If I'm using a male character, and my name would fit the setting, I name the character after me. If, for example, I'm playing a Persona game where "Sean" just wouldn't fit, I choose a name that would fit. In the case of Persona, a Japanese name. If I'm using a female character, I tend to choose different names; my Pokémon Black character is named "Heather", my Persona 3 Portable character is named "Sayaka" and my Monster Hunter Tri character is named "Violet". I'm planning to choose the female protagonist once more in Pokémon Black 2 and call her "Alice".
I honestly prefer girl names over guy names.
EDIT: I just remembered: I almost named a guy Jimmy Russel, but it wouldn't fit in the box.