If you've been a gamer for very long, you've probably come across quite a few players who have named their heroes after characters from literature, TV, or film--and likely been guilty of it yourself at some point! Many players, both old and new, are prone to obsessively recreating their favorite heroes as faithfully as they can with any new RPG's rules set they try out. For a host of reasons (inexperience with the rules, strict power caps on starting characters, clashing opinions about the character within the player group, etc.) many end up frustrated when it doesn't work out to their satisfaction. And along the way, they often end up annoying their fellow players with their presumption. ("Oh, sure, you're Alannon. And what level are you again?"*)
One problem with trying to slavishly trying to copy a fictional character is that you're not experiencing the full range of characters in the game. If you're hung up on the idea that your wizard has to be an old, mysterious know-it-all, just like Merlin, or Gandalf, or Elminster, then you'll miss out on all the other ways to play the class. And no matter how awesome those characters might be in their original settings, they might be a very poor fit for the campaign you've joined. Especially if you want to play the world's most powerful arch-mage, when you've joined a game that starts at 1st level! Instead, give some thought to playing the new kid on the block, who someday hopes to rub shoulders with those legends, and show us all how to do things differently than the predictable tropes of characters everyone knows.
There are times when it can be appropriate to use a name that copies that of an established fictional character, or that is a clever take-off of one. For example, players and GMs tend to be less strict about setting-appropriate names for one-shots or less serious games--and in deliberately silly games, anything goes, the punnier, the better. Less obvious homages can work in more serious games, particularly when the name or character are on the obscure side, and when the character is much more inspired by a fictional hero than based on one.
In my own games, I do put up with a certain amount of silliness in names, because my players are there primarily to have fun, and to blow off steam from their busy lives. Their jokes are part of the price, and the joy, of having a loyal group of friends to game with. So, for example, my Pathfinder games have featured animal companions and familiars named for Pokemon or dirty puns. If I ever tried to tackle a more historical game, I'd probably put more effort into policing names, but I'm also not sure that's really this group's kind of game in the first place.
Organized play is very much a crap-shoot when it comes to character names. For every serious, fantastic name that helps build immersion in the world, you'll have a Barbarella, a Harley Davidson, or a Herlock Sholmes.**
In all fairness, I'll admit that not all of my Pathfinder Society and Starfinder Society characters' names are entirely serious:
- I named my tengu cavalier "K'Chaw" as a joke, and only gave her a "real" birth name, and a story explaining the nickname, after playing her for a few levels.
- My kitsune hunter/rogue is named Mumbly Peg, after the "game" played with knives. She usually just goes by "Peg," so her full name rarely, if ever, gets any comments.
- Nar-Lok, my creepy heavens shaman, gets his name from the Loc-Nar in the movie Heavy Metal.
- My kiirinta (a moth-like fey species) mystic is named Tekeli-li, after the sound that the shoggoth makes at the end of At the Mountains of Madness (which Lovecraft lifted from the giant albino penguins in Poe's The Narrative of Arthur Gordon Pym).
- My gnome envoy and musician is Toknomonicon, which was never meant to be anything more than a random mouthful of syllables. But once I had worked out that much, of course he had to be known for doing "Tokno remixes."
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