I used to name the main character in all RPGs - however, now I have stopped doing so for Final Fantasy-type games. Those sorts of games already have protagonists with well-defined characters, and I don't really feel that I get to determine their choices or their personality at all. I still name the characters in open-ended RPGs, though.
I have never named the secondary characters in the party, partly for the same reason and also because I'm not creative enough to come up with that many unique names ;-P
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