Wright. Whenever I can. 
There are exceptions, though. Mass Effect, for example, has already set the avatar surname, so it's weird to have him called Wright Shepard (doesn't sound bad either). In these cases, I use Kyle for men and Erica for women.
There are some other obscure examples. Bloodborne has such setting that I felt compelled to be more creative. My first character was called Dorian Wright, and the second one, Amadeus Nox.
Whenever I'm set to make a very evil character, I like to call them Jack; I roleplayed some time ago in a Angel vs Demon forum, and some user had a character by that name, and he was the most sadistic monster of the bunch. It kinda left an impression on me, and I like to honor him by giving his name to my avatar. Most notable examples, my Fallout 3 Evil Karma PJ, or my unethical Grey Warden in Dragon Age.
My pawn in Dragon's Dogma is called Syra, because it reminds me of a close friend. She used that name when roleplaying.
If I have to imput a complete name, and the game encourages to use my own, like in Metal Gear Solid 2 and 5, I use Damián Wright. My real name plus my favourite surname of all time. (it's kinda my artistic full name at this point).
There are more, but those are the ones I can think of right now.
