For me, almost everything. I think long and hard about the names I pick. Even if it ends up sounding nonsensical to everyone else, the names I pick mean something to me. I usually end up trying names for hours before I even bother to figure out what a character looks like. So day one for most MMORPGs is rather boring for me, because I mostly sit staring at the "Enter your name here:" box, trying to think through different names until I find the one that captures my character PERFECTLY.
Perfectly, that is, until I have leveled the character up for a good while and realize that I don't like his name after all and have to reroll and by then a million other players have already logged on and nabbed everything pronouncable.
Granted, that problem goes away to some degree if the game determines character name uniquness from both the first AND last name, like in Guild Wars. I won't have to worry that the first name I want will be nabbed by someone, leveled to 3, and then parked, never to be played again. But, in a way, it also makes things harder, because now I have to figure out TWO good names that work together.
To get ready for Warhammer Online, I decided to do some research in advance so I would be ready to grab the cool names on day one before the only ones left are variants of "Xxxsephirothxxx".
I want to roll an Engineer so I found some ideas for appropriate dwarf names... though apparently any random smattering of consonants followed by something valuable (like silver, gold, or blood [yes, blood, you go and try losing a lot of it sometime and you'll quickly realize how valuable it is]) and a weapon works. Gnorbl Bloodhammer. Krildor Silverfist. Gildesh Muffinsmasher. (I like muffins.)
Orc and goblin names aren't that different than the dwarves. Its basically the same thing with fewer vowels and more misspellings. I found a few cute random name generators for orcs and goblins or both at the same time. The last one is the best since it actually shows you what the components that make up the name mean, for those that care. The other way to do this is to take Scrabble pieces and take everything except the R, G, Z, L, U, and O pieces out of it, then randomly draw whats left.
I don't know Warhammer lore that well, but I'm assuming the high elves in the game have the same kind of pansy names they have in Lord of the Rings Online, so the Lord of the Rings Online elf naming guide should work for my archmage or whatever.
For humans, well, that's a little easier... but here's a guide for Warhammer RPGs that has a good list of names.
I imagine a lot of the more "obvious" names will be used up quickly. For example, the name Aidan (which means "fire" or "fiery") would be appropriate for a Bright Wizard. And Kieran (which means "black") would work well for a solder for Chaos. Those will be gone within milliseconds of the servers coming up.
The Empire setting is Germanic, so the most appropriate names should be from that background. Granted, the world of Warhammer is bigger than just the Empire, so you could probably go for a Chinese or Arab themed name and simply roleplay that your character travelled to the Empire from Cathay or Araby... but some people won't take too kindly to that.
I usually resort to culture-appropriate baby name sites for my human characters, such as this one. I find a name that sounds good and has a meaning appropriate to the type of character I'm creating. For example, a names that mean "noble" isn't appropriate when I'm rolling up someone on the side of Destruction. Instead, I'll pick a name like "Fordon" (which means "destroyer", or so the website says) which seems more appropriate for those toons.
Got any good suggestions for coming up with names? As an altaholic, I probably spend more time coming up with new names than I do playing! OK, that's not true, but still, let me know. :)