If the story is set in the real world, get a phone book. Look for first names and last names that you like and that fit the feel of the specific area where the story takes place. Don't use any entire name, though - combine the first name from one person with the last name from another so you're not using any real peoples' names.
If it's set in a fantasy world, the name generators at seventhsanctum.com might help. Or, take names from some of the cultures that inspired the world (like middle eastern names if you're writing a desert world), possibly changing them a bit.
If you're writing a setting similar to the middle ages, renaissance or earlier (or an equivalent technology level but in a non-European country), understand where last names tended to come from in those times. People used first names as a way of fitting in, so they'd intentionally pick a name that was common in their village to name their child. But then you have 10 guys named John who all know each other and have mutual friends. So instead you call them "John the baker", "John the drunkard", "John the shepherd", "John who lives by the river", "tall John", "short John", "old man John", "John the redhead", etc. The last names used to just be something the person was known for in their town. That's why profession names (baker, smith, miller) are so common today. If this is a fantasy world, maybe "wizard" or "dragon tamer" is a normal last name.
The same first names thing happened because the culture was different. People in medieval Europe (and probably other societies with low technology levels) weren't all trying to seem unique like they are today. There was a lot more emphasis on fitting in. It's not like every person would have the same name, but 90% of people would have one of the 15 or so most popular names. Not all low technology cultures will be like this, so it might not apply in a fantasy setting, but you should still consider what parents look for in choosing a name. (It's also possible the parents don't get to pick - in the webcomic Goblins, for example, the fortune teller names all the children. Some of them are unlucky and end up with names like "Fumbles" or "Dies Horribly".)