I name them whatever seems appropriate.
I'm doing a solo challenge in the NES Final Fantasy 3 and I named my first guy "Loner!" and everyone else some variation of "Dead".
And if I'm doing a more serious game I pick names I feel fit the game world. Examples of my Kotor characters; Helio Cytran, Qayta Raycz, Darth Revan...
What do you mean that last one wasn't original. Pssh!
Edit: And my Zelda files are always my name or Link. I played the Oracle games so many times though I had Ralph, Marth and a couple of random names too in the mix.