4th Gen PROPAR GRAMER HURHUR.

[Lana.]

All caps is ugly to my eyes. Pretty much all of my Pokemon are nicknamed in proper case... when I catch a legendary, I fix their names to proper case.

 

[Pink_Marshmello]

I've been kind of mixed on this one. I'd just leave it in caps from gen 1-3 but in gen 4 I decided to use proper grammar.
On a side note, I nicknamed my Sneisel 'Schnisel' because they sounded similar. :)

 

[Azumi]

Easy. I just name them by their natures. Like Sebastian for a Sassy Chimchar, and he makes me think of a butler. (Lucky Star - Konata uses Marimite Mode segment)

Or Stanford for my Sassy (again) Starly.