If there's a name already selected, I tend to use that.
If there's not, but there's a canon name revealed somewhere (like on a wiki), I use the canon name, assuming it's not completely dumb.
If neither of those two criteria are fulfilled, it depends on what game it is.
In H-Games, I tend to name myself random things. If I plan on being a corruptive/enslaving asshole, I just go by "Master" which... honestly amuses me more than it probably should.
In non-H games, I usually just go by "Hero" (generic, I know).
In online games, I use one of my various aliases or make up a new one specifically for that game.