Well, when my mom was pregnant, she would pick out potential names and then use them for a week or so, pretending like she's talking to me, or yelling at me, stuff like that, to decide what name she really liked. I took a page out of her book, and when I was signing up for various websites and forums, I varied between names (Robert, Alexander, James, and Seth were my top choices). On forums, people would address me by the name I'd chosen, and I thought about which name I really liked being called. I originally wanted to have my mom pick my name out for me, as she has more experience in that area, and I wanted her to feel included, but at this point, I'm rather attached to "Robert". I'll let her pick out my middle name, though.
When I finally decided on Robert, it was kind of a feeling of "this is right", you know? Like, my whole life, I've been called a name, and it was just a name. But now, THIS name, feels like it's what I should always have been called.