Normally I use my own name, because as someone above me said, it's funny for everyone else to be called Cornelius Darkshiresmanshadowfootspire and to just use your own name. One example was when I was playing Dungeons and Dragons, which I gave up a good while ago because it was starting to lose my interest for whatever reason, and the Dungeon Master's speech went like this:
"O gather round, brave party of adventurers, and listen well. Ye are comprised of four souls most valiant, named Ofamus Rosundio, Rigelius Shadowwalker, Nerolan Tiroladus, and... Colm. For f***'s sake, at least make an effort, Colm! Shit, I mean, let the adventure.. BEGIIIIIN."
It's also fun to have a character named Elamous Nailo.
Although sometimes I find myself calling my characters stuff like Dih Kwielder or Ineeda Strongman so the DM has to say it out loud.
Ha, Voose Lagina.