Always, it makes them special to me! I used to give them just simple names, like Pidge for a Pidgeot, Toge for Togetic, and so on, but now I put more thought into them.
Usually only Pokemon I plan to actually use will get very special names though. Some will be named after favourite characters of mine, or something special to me in real life, just a few examples. My Luxray in Diamond is named Audrey, named after a very precious cat I once had named Aubrey. In the same game I have a Lucario named after an old good friend of mine I never see anymore.
Often Pokemon I never use will get very strange nicknames. Pokobowl is one that comes to mind. I think I was a bit crazy that day.