Depends.
If there's a canon name I'll typically call it that (Except good ol' Robert "Bob" Shepard, and the Persona 3 Protagonist who I named Vash Monado) so Link, Yu Narukami, Courier, etc.
Otherwise I'll just use Clone, Klonen, or the first thing that pops into my head (Never my own name though). Rebecca or Claire for girl characters normally, because I really like those names.
And my name for the Boss in Saints Row 1-4 (My playthroughs) is Jarek Abernathy.
Then there's my Exo Warlock in Destiny. Who is undeniably named Ultron (Even though you can't name characters in Destiny...Because Bungie is dumb).
Because he looks like Ultron without the robot bunny ears.
And finally my Fallout 3 characters name. Hank Strongman.