Ugh, this. I used to nickname every dang Pokémon with their name in proper capitalization. Best change Black and White brought to the series.
That said, I usually use either my own name, or Skyblade (or Lyndis if I'm running a female character, I've really liked the name ever since I saw it in Fire Emblem). MMOs are where I get the most fanciful, as I have several different names I use for different characters and different genders.