It's been said that you can tell the quality of a fantasy story by the quality of the names of the people and places within. Tolkien, for example, has some of the most evocative names on record today, and his books are still the gold standard by which other fantasy stories are measured against. By contrast, I once joined a DnD game for a single session, and was handed a paladin named "Sherman." Not even making this up. He was named after the tank.
Of course, picking good names for your characters is always a challenge, whether you're writing in fantasy, or in any other genre. Writer's methods range from the laissez-faire to the deeply thoughtful. Some people don't name their characters until everything else is done. Another school of thought holds that names should be symbolically significant, or contain within them tricky allusions to other relevant works or philosophies.
For myself, I sometimes feel that the best names I come up with are not created after long and careful consideration, but come to me when I get my mind into 'the zone,' that magical place where you have your feet in the dream world, and your hands on the keyboard, and the world comes to life for a little while.
What's your theory? How do you come up with names for your characters? Any names you are particularly proud of? A technique you would like to share?