Depends on the game itself.
Sometime I used a set of fantasy names I already used like Scarim, Raiken, Vallen etc or other times I make a name that suit the game setting (e.g. I named my Asuran Mesmer "Vintt" cos Asuran male names tend to be single and snap sound names) or sound cool (I named my RaCast from Phantasy Star Zero "Mid Knight").
Sometime I used a set of fantasy names I already used like Scarim, Raiken, Vallen etc or other times I make a name that suit the game setting (e.g. I named my Asuran Mesmer "Vintt" cos Asuran male names tend to be single and snap sound names) or sound cool (I named my RaCast from Phantasy Star Zero "Mid Knight").