Black-Scale the Argonian Assassin-slash-Mage.
Who will assassinate-slash-fry your ass. Yeah, boy.
I generally try to stay in canon. "Dave" the Argonian completely sounds out of place; but I wouldn't have any trouble imagining a Dunmer having an Imperial name or an Orc with a Redguard moniker. Adoption and whatnot.
I'll have to make up a Breton at some point, seeing as their names are all French-ish and, well, I'm from Quebec. So I could play as myself and still remain in canon! Joy!