When I was little and first started playing the games, I used my real name. Of course, having Link called by a girl's name is a bit strange to me now, so ever since I played Link's Awakening, I've just used the default name, Link. It fits the story better. I've also used a few other random names on occasion, such as Nyan for my 3-heart run in LA (because people rarely use your name anyway), Doggy in Majora's Mask because my sister made me (long story), Stupid in The Wind Waker for laughs, and the most ridiculous combination of random symbols I could find in a Skyward Sword file just because my friends and I were having a moment and thought it was hilarious.
My sister always names Link really strange things though.... Totally random-but-somewhat-normal stuff like Seth, to things like Bubbles, Bilbo, Bablo, and the aforementioned Doggy...