I'm still waiting to name myself. I'm really leaning towards Loker, which is a character in lie to me who is stark raving honest, which is an attribute I pride myself in having. But before I name myself, I'm feeling out my parents. Everyone else I know was named by their parents, and even though we don't have the best relationship, in an ideal world they would be accepting enough of my transition to name me a second time. I already brought it up to my dad and he said my new name is none of his business. I don't think he even understood the weight of what I was asking... or offering. But yeah, if I don't get a name from my mom I'm going to go with Loker.
If you're more looking for ideas of how to name yourself, rather than just other people's stories, I started with my ethnicity. I'm Irish, so I looked up Irish names and did a lot of research into the meanings of those names, trying to find one that both sounded like me, and described me. That might be a good place to look if you have a strong cultural heritage in which you take pride.