Personally, what I get wrapped up in is names. They're the face of a character, and need to be chosen well.
Not only do they need to not be generic and dorky sounding (see: Joe, Bob, Jill, Sally) but they also cannot be outlandish and completely out of character. If you have a guy named Zorblog, you know he's not from around Earth. However, Jason is obviously a guy from Earth, and chances are he's white too.
Names reveal a lot about a character (I could get into old superstitions about real names and alchemy and stuff, but that'll get too far off topic) and they need to be used well.
After finding a good name that doesn't make people want to throw you out of a window, what about surnames, and middle names?
Well, you really want it to flow well, and if you can throw a hidden meaning in there, then by all means do it. But mainly, you want your last and middle names to flow well with your first name. If you have Greg, you don't want his name to be McGee. It doesn't flow well. However, Jason Liam flows really well. The same goes with middle names.
Generally with name flow you want to keep them nice and short, a combination of over 8 syllables is probably too much, unless you're a wizard of some kind. (Note, this applies to first and surnames only, if you have middle names you can easily reach over 8)
With middle names, as long as it sounds good, and doesn't come out to an embarrassing acronym or initialism, you really can't go too wrong.
DO NOT BECOME STAN LEE.
What I mean by this, is do not skip by the whole flow thing by naming your character something like Peter Parker, Reed Richards, J. Jonah Jameson, etc. etc.
This makes your character seem silly most times, and it is really hard to make yourself a good name through alliteration or rhyming.
All of this will help make your name memorable and, hopefully, a good facade for your character. (Facade as in an exterior decoration on a building, not deception. Unless you love hiding meaning in your names, in which case, by all means.)