Myself, I base most of my characters (and/or their names) on characters from movies, tv shows, and books. I've run a bard named Jack Burton (from Big Trouble in Little China), a fighter named Madmartigan (from Willow), and a robot named Tom Servo (from MST3K).
Occasionally I'd make a character based off of class/race/skill combinations, usually to a cartoonish extreme. A fire priest named Friar Ash (my personal favorite...every fight we got into I would shout 'WE MUST PURIFY THEM WITH THE HOLY FLAME!' in a horrific warbly voice), my dwarf fighter Badaxe Jack, or Old Doc Spurlock from Traveler.
For ACKS, I read (and re-read) the books, checking out the various class/skill combinations. A lot of what kind of character I make will be based on what kind of stats I roll up. I've been watching Metalocalypse a lot lately, and I've been thinking about making a couple of characters with Dethklok band names. Frankly, the idea of playing a dwarven Fury named Murderface makes me giggle a little, as does a magic-user named Nathan Explosion. Of course I've also been reading a few Warhammer novels about this super-powerful, super-evil necromancer...and, well, I've never run a necromancer before.
So how do you guys do it?