If appropriate I like to use http://www.seventhsanctum.com/ some of the generators are really cool and the realms one gave me unexpected inspiration for a story. (The crystaline realms of the eternals was not a happy place)
The bad I am working on right now has no name...
I just call him "The Necromancer" this way he's creepier because you know nothing about him and it's harder to find his weaknesses...don't worry though, he gets his @$$ kicked!
I think of a normal Human name. Then I give him a creepy nickname (Ex: Tom Riddle is Voldemort, You-know-who, etc.) Right now I'm writing about I guy who used to be good, but turned against his 'race' because of the accidental murder of his sister. He has a normal name, but they call him 'The Stalker' because he tracks people related to the ones who accidentally killed his sister and kills them as some kind of sick revenge.
My badguys tend to be of the you-think-they're-bad-at-first-but-then-you-find-out-they're-really-not-that-evil variety. I need to stop doing that before it gets redundant. >_>;
However, what I normally do for them is give them nicknames (The Wizards of Fallen Elm and The Bladeshadow Twins are prominent "badguys" in my writing, for example), but then give them fairly common real names (the Bladeshadow Twins, assassins whose "work names" are Blade and Shadow, are actually named Kevin and Sarah Cobbler).
I give the really evil characters short names with uncommon letters in them, like Tez or Xann.
Seriously Bad Guys: Hard sounds and hissing, references to death or pain - so hard Gs, Rs, Ks, Ss, Xs. Xavier Morten or Gunther Scarman. Sometimes authors name the really bad guys names that would have given them problems as a child, like in Silence of the Lambs with Jame Gumm. He'd have had to correct people and take crap for it all his life.
Ineffective Bad Guys: Ms, like malcontent, malpractice, malinger... also Ns, like nothing and nobody - not to name your bad guys Mr. Malcontent or Mr. Nobody, but how about something like J.K. Rowling did with Delores Umbridge (Umbrage) or the Malfoys.