I have a long list of names just waiting for the right storyline.
Every name I like the sound of, I've got envelopes and note pads full of them. I once addressed envelopes for tuppence a time and got a huge number and variety of names that way.
Other than that, I use sounds I like, even if I don't know whether or not they're actual names that I should be aware of.
And then there are the word-games. I wonder if J.Jonah Jameson and Perry White are connected in some way, other than their profession, like this (stay with me, it's a tad convoluted):
White, white whale, Jonah and the Whale, Jonah
Perry, Perry Mason, J. Mason, Jameson.
It's loose, but I like it. I named a character Stanley Melville in a loosely similar manner (not that I necessarily believe this is how Stan Lee came up with his editor's name). He was a newspaper man, too, so:
Jonah and the whale, white whale, Perry White, white whale, Moby Dick, Herman Melville, Melville.
Jolly (epiphet given to JJJ), Olly, Oliver Hardy, Stan Laurel, Stanley.
Or it may have just been Stan Lee contracted, he being an editor as well, but to tell the truth, I'm not a hundred percent which it was at the time.
Doesn't matter if it makes no sense, it's a name, in the end.
Ian Fleming wanted a simple first name and a dashing second name and got exactly what he wanted on the spine of a book on birds - James Bond, of course. (Haven't read the whole of this thread, so others have probably already mentioned this.)
Strong nouns and some verbs make good second names - not 'soup', or 'bellyfluff', obviously. Second names can sound heroic as first names. McKenzie Hawk (remind me to register that one as a trade mark!).
First names can have a truckload of syllables if the second has only one. Capability Brown, to name but a few. The other way around can sound a little comical - Arnold Schwartzenegger.
I also like to trawl through archaic names, like Cornelius or Honoria or Iolanthe - someone's parents may still like them. They're great for villains. You get this big butch baddie and he's called (he-hee) Auric Goldfinger!! Auric!! I ask you!!! I thought Colin Dexter's reason for naming Morse "Endeavour" took the chuckle out of it a little bit (still think John Thaw was completely miscast, but I think I'm probably the only one).
Avoid, I suggest, "James" as a middle name, where you're tempted to give one. James and Henry and Tiberius are, I believe, middle-name cliches.
Having said that, I wrote a story once where everyone's name was a variation of Henry - Henry, Hal, Harry, Hank, Hen, Hetty, Henrietta, Hatty, Harriet etc. Same can be done with Mary and Margaret, not so many male variations there, though.
But wasn't it Wayne Campbell who said, If you name me, then you negate me? Or was that Nietsche? I always get my Wayne's World and Manic Depressive Philosophers mixed up.
Sorry to add more, but just had a thought: Your name comes from some trade, possibly, or some action that your anscestors performed, so what trade or action might an alien or fantasy character be named after? This is, I think, where Douglas Adams was coming from with some of his more exotic namings, with the possible exception of Slarty Bartfarst. Unless a slarty is something. And bartfarst is a way of being or doing.