I usually keep the default names, except for the main character, which I name after myself (I share a PS2 with my brother, we need to know which game is whose). Except in FF6, in which the main character was Terra, and I'm a guy, so... yeah. However, in a recent game of FFVII, I named Barret Mr. T just 'cause I couldn't help it any longer. I didn't think of what would happen later in the game: "Aeris: Thank you, Mr Mr. T."

My friend always come up with stupid name that I can't help but laugh at... he names Tidus "FARTFACE", Cloud "CloudPEEh (pee head)" Barret "Buttboy", etc.

(SPOILER)Someone on this forum mentioned calling Aeris "my balls", so I suggested it to him (he didn't mind hearing spoilers, and like the idea for her name)

I also eventually called Red XIII "Nanaki", and the next time I play through, I'm using the idea of calling Cait Sith "Reeve".