For a while, I named them after myself because I was trying to figure out how to roleplay without thinking in moral extremes. Other than that, it varies. The names are usually made up to sound fantasy-esque, like Kelbin Hedgarr, Drick Thayer, or Caemris Durane. Sometimes the names come from the real world, like Nikolai Galyanov. Sometimes, they're simple and to the point, like Sodd.
Currently I'm playing Skyrim with an argonian female named Ru'Ssrenna. That name is in reference to my first character I beat Morrowind with, Ru'Kassa, the idea being that she's descended from him. I even took advantage of the face-section colorings in the character creation to make a pattern that refers to the events of Morrowind. Sentiment is a very important factor for me in RPGs.