I like ones that conjure up a mental image (not the sick sexual ones) like "Glass Carousel" (who posted earlier) is such a pretty picture in my mind. :> Names like that are desirable to me.
Ones that fit really well with the design of the avatar are really awesome too, whether it's a realistic first and last name or just words that reflect the theme, it's good when the avatar and the name complement each other.
I try to keep a general theme that somewhat suits my usernames (e.g. this one I keep to slightly darker, bloodier themes). :] I like to design characters, when I make an avatar i'm imagining how the character would act.. backstory.. etc. It's madness.