If I have the option to, I normally play as the female protagonist. I will choose random female names that I happen to like (Hazel, Angel, Jasmine, Scarlett, Celeste, Ava, etc). I normally do not use my first name as I think it's boring.
Some of my files are based on characters from other forms of media:
Tessa - after the same character in the anime Fullmetal Panic
Alice, Echo - after the same characters in the anime Pandora Hearts
Athena, Lilith, Aurelia, Moxxi - after the playable characters in the Borderlands video game series