Do you name the main character after yourself? Do you leave default names in place? Do you name characters after real people you know, or EoFF members, or celebrities, or random object words?
Specific sub-question: Do you rename TERRA to Terra and LOCKE to Locke?
I name all of my male leads in games Lars, in a longstanding tradition dating back to my first childhood Dragon Warrior playthrough. It's a name that always fits and is cool enough, and works in any 'feel' of game for me. DQ games often only showed 4 characters of the name on combat screens and it always fit there, too.
The rest of my party consists of mostly people I know, especially squad-based games like XCOM. Occasionally some EoFFers slip in (mostly eestlinc and Del Murder) if I run low or have a particularly large squad. I personally am always there as the "second guy" after the main character in games. I'm never a Warrior/Strength-type, and Lars always is. Just tradition! Of course, I don't always use "real" names. I'm usually Spuuky, for instance.
Also, I never rename Final Fantasy characters, and I'm not sure why.