Someone posted a video of someone (MMO savvy) trying out LOTRO for the first time and the thing he had the hardest time with was coming up with a name that had not been taken and eventually ended up using his YouTube name (The LazyPeon *RPGers sudder*). I had a similar problem and ended up naming my first after myself. For my second, I tried to aim a little closer to an Elvish sounding name and came up with Elrashea (Elf Champion). And then the third I named Esrador Man Lore-Master). At this point the lookalike names where starting to get confusing. For my next three what I did was use the random name creator about ten times for each and picked the prefix and suffix I liked best out of those and combined them. For my Dwarf I got Oddkeg which I thought was a perfect name for a Dwarf. And then Supro for a Hobbit. On the last one I got Thurafang (Man Captain) as a whole name, loved it, expected it to be taken, but it wasn't hooray.
So how about you? Any particular formula used? Did you try to stay in keeping with the types of names Tolkien used? Did you do research into the languages of Middle Earth (either then or prior to that as a fan)?