I get most of my names from past games I've played. I've been playing DnD for over 20 years now, and World of Warcraft for a little over 5 years. 2 of the characters I've always kept in the running, and am planning on using them as hero's / elites in WH40k... but
Deadlance - Paladin in WoW / Fighter / Warrior in DND - played for several years.
Kelvarin Blackblade - Fighter / Mage - DND second edition - played this guy for 10 years. In WoW he was a warrior.
Arkhail - Swordmaster in Earthdawn that I played as an NPC in most of my campaigns I ran.
I am still very new to WH40k, havent even played a game yet, and havent read the rulebook completely yet... still painting my first army... in fact, the majority of it is still in the mail, but I do know that I'll be giving all my marines a name, a last name most likely, but I'm planning on each of them being complete individuals and unique at the very least by each having a name.