That depends on what sort of world it is. The fantasy world I'm working in right now is very detailed and in-depth, so I have a lot of things to consider when picking names, such as social status, home region, historical family connections, ancient legends, religious beliefs, any languages in your world etc. For example, my main antagonist, whose profile is posted on McMurphy's profile excercise, is named Anaroch Ciocras for a number of reasons. Aonarach is an irish celtic word, the meaning of which I can't seem to find right now, and one of the languages in my world is loosely based on irish celtic. I changed it to Anaroch so that it wouldn't seem too exotic when compared with the other names. Anaroch was originally only the name of a figure in the legends of my world, but due to some of the above stated reasons, I decided to make it also the name of the main antagonist. The name 'Ciocras' has similar background. Of course, not all names need to be planned so throughly. I just happen to like names, so I spend a lot of time choosing them. One thing I like to do to come up with names on the spot is flip through poetry anthologies, from historic poets, like 1700s, 1800s, or so. Just mismatch first and last names and you can get really good sounding names with an older feel for minor characters.