I used to use my own name (where possible) but then I remembered, I HATE my first name (it's the fact I am a huge Athiest and have the mother of all Christian first names) so now I use the moniker "Conrad V. Ward" when playing things like Fallout 3 / Fallout New Vegas. It's a nod to "Conrad B. Hart" of Flashback fame. Conrad was a great character with great dress sense (Jeans, Leather jacket, T-Shirt, comfy trainers...works for me!).
When playing Mass Effect, I gave my male Shepard the name "Lion", because it reflects his character and lions are cool...as well as fookin' 'ard bastards, which Shepard is!
Wardy