I have two that I use regularly. I shall provide the stories for both.
Baby Raptor: When I first moved in with my roommate, we were dating. The day after I drove up here (9 hour drive in terribad weather) he tried to wake me up for some reason. I hissed at him. He goes "Aw, like a little baby raptor!" A couple days later, a friend of mine on WoW did something that really made me angry. He tried to bribe me back into his good graces by buying me one of the baby raptor minipets. I was playing a healer back then, and in a bored moment during an easy boss fight, summoned the raptor. I then promptly squealed into everyone's ears over Vent about how cute it was, causing alot of "Fuck, Yas!"s and a wipe. That cemented "Baby Raptor" as my nickname.
Sadistic Pretzel: Pretzels are my favorite food. Any sort of pretzel, really, though soft ones covered in tons of salt are best. Seriously. If I were a pony, my cutie mark would be a pretzel. Anyway, remember awhile back when President Bush had that incident where he choked on a pretzel? Well, one of the guys in my unit made the comment that it must have been "a really sadistic pretzel." My friends and I got to talking about it later and someone pointed out that it would make a hilarious screen name for me because of my love of pretzels.
There ya go.