There are a few things to consider in chosing a name.
First off, whatever you type when you create your avtar is what you will get in SL. So make sure you spell it right. Like someone said with the 'nugget' example - if you type lowercase n for nugget, your name will be written in lowercase in SL.
Keep your name simple. Other people have to type it if they are directly addressing you. Names like RamBamJamFromBirmigham are a ***** to type in and don't forget that you will have to type it every time you log in - especially if you later have a second avatar and want to switch between them. I Have seen some incredibly long names and I actually know people who refuse to befriend people with awkward names because they really can't be bothered to type in their names.
Obviously, avoid names that may upset others. Profanity in your name - even hidden using mispellings or numerical characters - can cause offence and there's always some do-gooder who will file an abuse report against you. which can lead to either an enforced name change or suspension and even cancellation of your account with no recompense for any money you have spent on your avatar.
As I have mentioned elsewhere on Answers, avoid using a number as the first letter of your name. This will prevent you from using Lucky Chairs in SL which are prize-giving chairs. The chair will randomly select a letter from the alphabet which it will display for a set time from as short as 30 seconds to 60 minutes. If the letter matches the first letter of your avatar's first name you can sit in the chair and you get the prize. If a prize is claimed or the set time runs out, a new letter is randomly selected and the time countdown starts again. Sometimes the prize changes too.
Obviously, If you're name is 2579Julie, you're never going to win a lucky chair prize.
Some people who are avid 'Lucky Chair Hoppers' will create alternative avatars (alts) with names beginning with letters that not many people have so as to maximise their Lucky chair chances. Names beginning with N, Q, U, W, X and Z are pretty rare. Names beginning with A, C, D, H, J, L, M, R and S are very popular.
One last thing to consider is that some people like to play a variety of roles, sometimes choosing to play the opposite sex for a while. If your avatar is called Mary, you're not going to be very convincing if you decide to turn your avatar into a male samurai for a few days. The reverse of this was very evident to me when one day I went to a club with a friend to find a female avie stripping on a dancing pole to earn some money. 'Her' name was Pete.