There are a lot of sites out there on the net which have some great archives of historical characters and saints names. To help you decide on a name, think about the character's history: What planet is he from?
What faction is he in?
What does he look like?
A good way of getting names to match with models is think about these things, and try to find a type of parallel in history.

For example: I am starting a Witch Hunter warband for Mordheim; I have decided to have my lead witch hunter like a Spanish Inquisitor. I looked up sites on the Spanish Inquisition, and I found a list of names of Inquisitors and Witch hunters from the Renaissance period.
One of them struck me, Torquemada, one of the nastiest pieces of work ever to come out of the then 'Holy' Roman Church. He used to burn people all the time. It fit well with the Empire/Mordheim background, so now with a box of Parazzio's Lost Legion, a preacher model, and lots of putty, I have set out to create Torquemada's witch hunting expedition to Mordheim.

Imperial Characters like Inquisitors and Marines benefit from Roman, Greek, or Spanish names. Squat go well with Norse names, and Eldar character's names could be drawn from Arabian, Indian, and Asian influences. Then again, I used to play a mix of Necro, and 40K 2nd & 3rd Ed, in which my Space Marine gang had really comical names like Self Destructo Fred (He always used to detonate his rockets early, if you know what I mean). With a body like Gazkhul's, you might as well call your character Inquisitor Invincible (crap name, I know).

I've put some links below to some sites where you can get some good inspiration.