Okay, so technically Waaagh! is a Warhammer Online blog, but we'll forgive Syp this time, if only because S/he writes a pretty good article about choosing your character's name. The first part of it is, to me at least, good common sense. Don't choose a name you'll regret or a name that looks overly bad to other people. Naming after real life celebrities can get a bit tired. Naming your character "something naughty" is probably just going to make most people think you haven't cleared puberty yet. And yeah, it might be funny to call your character Rickroll NOW, but when Rickrolling is the next "All Your Base", everyone on the internet is going to point and laugh at you for being old and busted.
The second part has some excellent ways to comb for new names, some of which many veterans already know, but it's a good compilation, and gave me a few ideas for my next name search. I can confirm to anyone who doubts it that Syp's Rule of Three really is true. I have known only 1 or 2 people who have been able to avoid having their name reduced to a 3 or 4 letter nickname that is used almost constantly in place of the whole thing. You can't avoid it, so sometimes it's not that bad to go with the flow and plan your name around it. Same thing with the similar names across characters thing. It works pretty well, if you like the idea, but woe to you if you accidentally take someone's naming scheme and join their guild or group of friends!
If you're having trouble thinking of a new name, or plan to roll a character at some point in the future, give the article a read. It's pretty keen.