For single-player games, I use my first name IRL.
For online-focused games, I use my handle, Super_Boom or Boom
For Zelda games: Zephyr
No reason for the last one...just a tradition I've had since I played Ocarina of Time as a kid. Just liked the name a lot. I even use it as a my NNID and PSN IDs now.
NNID: Zephyr25 / PSN: Zephyr--25 / Switch: SW-4450-3680-7334