I've always nicknamed them. I'm just sentimental I guess... I typically get both copies of a given generation and never reset one of them, resetting the other to farm legendaries and items, and play with new teams. I have 224 hours on my FR version... Anyway, I decided to reset my Diamond version because I decided I didn't like the name I'd picked (for my character). So I began the long process of evacuation of everything I wanted to keep. Too bad they made Pokemon Ranch useless for that purpose. Anyway, I'm not so sentimental that I wouldn't let ANY Pokemon go down with the game, but I am sentimental enough that I decided I was going to transfer my 4 or 5 boxes of Eevees before I reset the game (I plan on eventually putting them all on Pokemon Ranch...).
But I hate having Pokemon without nicknames. And once I transferred them to another cart I wouldn't be able to name them... So I named them. All of them. 4 or 5 boxes... It was over 100 Eevees I think. I ended up letting my cousin name a few, it got weird.
I've always named them though. Some of my favorite names are the ones I used the first time I played through Pokemon; my cousin played it first, and named his Bulbasaur MiracleGro, so I named mine Weed-B-Gon. My Nidoking was Horny (I was pretty proud of that one), and my Articuno was Frigidaire, which is a brand of refrigerator for you young whelps who don't know. Wigglytuff was Tuff Enuff. Can't remember too many of those... I eventually had one of every Pokemon in my box on my Blue version, and they were all named. It was pretty irritating back then, because they had generic icons so I couldn't tell which ones were what pokemon if I forgot. I think I eventually put them all in Pokedex order.
Nowadays I mostly take as many words as I can think of that I associate with a given Pokemon's type and/or planned move sets and the Pokemon itself, and mash them together to make new words. For instance, one of my legendary catching team is an Umbreon with Yawn, so I call him Bromos, from 'bromide', which is an obsolete generic term for a sedative. A Gallade I used on my main team in one play through I named Arthael, from Arthas/Arthur/Lirael and other fantasy knight-type names. A Swellow I made to use Thief with I named Birdlar (burglar? get it?). A Beedrill was Ovalisk, from ova for egg, and -lisk from the Star Craft Zerg unit names (Hydralisk, Mutalisk, etc). Candlejack the Gengar, Honalea the Lapras. One of my favorites is a flareon, Heleos, from Helios, the sun god, and (I think?) Eos, the goddess of dawn. That was either Roman or Greek mythology, can't remember which. She was a favorite team member, not a favorite name.
I will close my DS and sit there for 20 minutes to think up a name. I don't name all the Pokemon I catch anymore, but if I'm using it for anything (even breeding) it will usually get a name. Basically, if you ever trade with me, you're probably getting a named Pokemon.