You could sit down and think of things about yourself. Like if your goth, Gothic Wicked could be a good name.2
Make a list of bands that inspire you/your music. Looking at how other bands have chosen their names is often a good place to start when choosing your own.3
Take into account your style. Try to choose a name which reflects the type of music you play, otherwise potential fans could be put off listening to your music.4
Think of your audience. What kind of fans are you trying to attract? Choose a name which will appeal to them, as well as perhaps pulling in a wider audience. (Of course, if the music is "just for you" you can skip this point)5
Consider likes and dislikes. If there is something in particular the whole band agrees on this can often be an effective starting point for names.6
Make suggestions. Have everybody in the band write down a few ideas then share them with the group, sort out the good from the bad.7
Sleep on it. Often the best ideas won't come to you when you want them. Don't make the decision right away, it isn't usually necessary for a band just starting out to have a name.8
You can change it. A lot of famous bands have changed their names a couple of times. Don't be afraid to do the same if you think of a better idea at a later date.
Be aware of your surroundings I remember hearing that AC/DC found those letters on the back of the sewing machine. You could even try thinking of three letters and figure out a cool acronym. Example: If you chose CMR perhaps Cradle My Rowdiness10
Try using Latin words that mean something relevant to your band. For example, Igneous, which means fire.