Just to give you some ideas in case your favourite name is already taken:
Fantasy Name Generators and Lists
Schub's Fantasy Name Generator
name generator @ squid.org
Afira's List of Names male & female
Random RPG Name Generator
Fantasy Name Generator
Links to several name generators
D20 Online Fantasy Name Generator
random RPG name generator
Fantasy Name Generator, thanks a lot, papukas
Elvish Name Generator
Fantasy First Name Generator
Funny Mean Names Generator
Guilty? Here are some Criminal Names Generators :-D
Mafia Name Generator #1
Mafia Name Generator #2
What's your criminal name?
Resources for creating your own names from scratch
Creating realistic fantasy names
Creating Fantasy Names
Tips and Tricks for Creating Names
How to make Fantasy Names
Creating Names for Fantasy
The Art of Fantasy Names
Creating Fantasy Names
A nice offline tool is Lyreword. It requires some manual input but is very versatile and highly customizable.
List of legendary creatures
Mythical Creatures List
the Phoenixian Book of Creatures
Aztec Mythological Gods and Creatures
Norse Mythology Names
Literature, Cinema & TV
List of Middle Earth Characters
List of Star Wars Characters
Lists of Doctor Who Characters
Real World Names
Behind the Name - also has a random name generator/picker
More Names by Country
Ancient Roman Names
Roman Naming Conventions and List of Names
more Roman Names
Ancient Greek Names
List of Greek Names: Male & Female
Ancient Egyptian Names
more Egyptian Names
Glossary of ancient Egyptian terms and names
Incan Names and Words
A Selection of medieval Names
Medieval English Names
Medieval Naming Guides article collection and Medieval Names Archive.
Medieval Names Lists and Articles by Country/Origin
Roman Names II
List of Biblical Names
Don't worry, it's Science :-D
I'm a biologist, so I use Latin species/genera/family names a lot.
Census of Marine Life
The Plankton Net
Encyclopedia of Life
Lists of Animals on Wikipedia
Earth's Endangered Creatures
Global Invasive Species Database
The Plant List
very basic vocabulary
MIMS prescription drug database
A long, long List of Chemical Compounds and their names
If you don't want to scroll through that, there's a Generator that will pick a compound for you.
Some astronomy/star names
small table of star names
List of Stars with the original Arabic Names
Classical Albedo Features on Mars
Geology/Rock/Precious Stone Names (hello, Gneiss)
Stones & Rocks
Famous Gemstones, especially Famous Diamonds
The Compendium of Lost Words
Fighting & Combat
Using translate.google.com for trying out words you like in other languages. Thanks a lot to Spoonmann for the suggestion.
Nook of Names "Home of Llewellyn's Complete Book of Names: For Pagans, Witches, Wiccans, Druids, Heathens, Mages, Shamans & Independent Thinkers of All Sorts Who Are Curious About Names from Every Place and Every Time"
Gary Gygax's Extraordinary Book of Names - suggested by Raycheetah.
A Māori Dictionary
Lego Bionicle Characters - thanks a lot to sodium777.
The IKEA catalogue - thank you, YellowMage.
Car Models List
List of Car Models at Yahoo Answers
savethewords.org - archived version.
MLG Name Generator suggested by Mucosolvan
For those who want to add Numbers to their names:
Introduction to Roman Numerals with handy converters - Nova Roma and Roman Numerals on Online Conversion