I'm fortunate on this, it took me no time.
I had it picked out years ago, expecting it to be given to a daughter, or at least that is what I told myself. When I decided to start picking a name it was first choice, but I did consider a few others. Mostly Victorian names, just to be thorough.
I narrowed it down to 3, and a asked a friend what he thought of them. By that point I guess I already was Leslie and it was only a matter of the middle name. I like what I picked and I can't imagine changing it.
I can see how some people fret over it though, we normally we grow into a name. Picking your own name is like trying to fill out a personal ad, it has to say something about you or it seems wrong. We spend more time describing someone to someone else, not describing ourselves, which makes it difficult.