In games without defaults, I tend to name the main character after an internet name I've had, and depending on the amount of name-able characters I might name the rest after friends of mine or just other internet names of mine. I do the same thing with games where there are defaults but the characters themselves don't have much personality, like Final Fantasy 3 and Ogre Battle.
As for all caps, it kinda depends. If I'm remembering correctly, in FF5 you can only name Bartz. So, I would love to give him some lower-case letters up in there, but the rest of the playable cast can't be renamed. So in that case I'd just keep him as BARTZ. But I have the worst memory ever, so I'm probably remembering wrong.