If it's a male, depending on the game I would put "Alex", since my actual name is pretty long and most games (Especially old RPGs) don't have enough blank spaces for it.
If it's a female, I would just pick a random one.
However, in games like Final Fantasy or Chrono Trigger, I prefer to keep the characters original name.
Also, am I the only one that finds weird how in some games like Skyrim, you can choose your protagonist's name, but no one actually calls you by your name?