When I first started playing the game I kept waiting for them to call Link's Loftwing Epona, but they never did and I found out it was male. Soooo . . . I guess I name it Sayen.
If I could name my loftwing, it would probably be Zuko, just because I've just completed watching Avatar: The Last Airbender, and it just seems to fit. Up, up, and away, Zuko!