I'll browse through the index of The Silmarillion like I usually do and pick something that sounds cool, so a fantasy name.
Back in 6th grade i was really into JRR Tolkein, i picked up that book, read the first sentense and returned it because just the first sentense blew my mind.
But as of my first character, it will be a Dunmer Assassin, with some magic knowledge and a master at Alchemy.
As of a name, probably my real name, or one of my Oblivion names Xaij, the Dark Assassin.
No background story, no origin. (Except dovakiin)
just the mastery of shadows and Assassination