Twilight Princess was my first Zelda game, and I really didn't know Epona's name was Epona, so I named her Shadow. Hahah kinda funny sense I didn't know the game was gonna have so much to do with shadow's. xD
Whenever I play Zelda Games, I name the characters after my own little characters from my own little stories. That way, It's like they're living an adventure, too!