Usually, when I'm looking to name characters, I'm going to behindthename.com - it's pretty much what the domain already hints at; a repository of names and their meanings, neatly sorted by origin and interlinked with variations from other countries/languages.
All that's left then is to decide on a "style" of a name, which can be done by looking at the character's culture, as I feel that the sound of a name adds a lot to how a persona may be perceived. For example, as I was creating the random name list for a Sororitas supplement I'm working on, I opted for French, Spanish, Greek and Victorian English names (labelled as San Leor, Terran, Ophelian and Gathalamor conventions, respectively). On the other hand, if you're looking for a noble, perhaps you might rather look at Latin or Romanian names? For a Hive, English names are okay, though you should focus on short, strong ones, and perhaps alienate them just a little (see below).
Do not dismiss the simple trick of changing vowels - it's one that has been used by a lot of Star Wars authors and Games Workshop itself! Turning an "a" into "e" makes Frank into Frenk. Looks a bit more spacey already, without going overboard ... and it's a neat remainder of how names can become bastardised over time, just as it worked during the past millennia in the real world.
Lastly, look into various novels (40k or otherwise) and draw inspiration from there. Trace back the steps the authors took to find their names, or just try to find something that sounds somewhat similar. As a last resort, don't shy back from just stealing names from minor one-off characters. Names are not unique, and as long as not everyone will instantly recognise where you got it from ("Greetings, I am Gregor Dante!"), it'll be okay. Ideally, just take either the first or the last name, and combine them with another character's.
Hope that helps at least a little. I know names are tricky, and I often spend days or weeks until I am satisfied with one. Per character.
Edited by Lynata, 13 May 2014 - 09:19 PM.