"What's in a name? that which we call a rose
by any other name would smell as sweet;
So Romeo would, were he not Romeo call'd,
retain that dear perfection which he owes
without that title!"
Thus philosophizes Juliet on her balcony in perhaps the most famous passage of Shakespeare's Romeo and Juliet, referring to the fact that Romeo's surname is that of her family's sworn enemy. Philosophers will argue the validity of her idle comment that a rose by any other name would smell just as sweet, and in Anne of Green Gables the heroine (most definitely not a philosopher) makes the amusing and accurate observation, "I don't believe a rose would be as nice if it was called a thistle or a skunk cabbage."
Be that as it may, I rather wonder if Shakespeare could have written his play the way he did if Romeo's name were any different - or if it would have been half as popular. "The Tragedy of Gerald and Hepzibah" fails to pull any heartstrings in me. In Scripture a name frequently reflected something about the character of its possessor, such as Solomon's God-given name, Jedidiah, and were chosen with care by the parents to have meaning; sometimes they referred to circumstances of the child's birth (Jacob, for instance), or to appearance (as in Esau), or to some great deed that was foretold about the child's life (most notably Jesus Himself). Occasionally in Scripture there is also revealed the special name by which God called a man, as in the name Jedidiah or the covenant names God gave to His people.
In fact, the answer to Juliet's question is that there is a great deal more in a name than she would think. Names, as much in fiction as in real life, are very important and carry with them strong images; and writers, as much as parents, often face a challenge in naming their characters. Sometimes a character will present himself or herself and have a name already...and sometimes they don't. More's the pity. But if the latter is true, names are too important in a story to allow any writer to just skim over a list of baby names and pick one that sounds interesting, for characters have a tendency to rebel when their name does not reflect their character.
There are several interesting ways to find a fitting name for a character. One is to recognize that letters, as well as names, come with at least a vague impression of the sort of person who might have a name starting with that. M's, for instance, are often applied to villains (Morgoth, Morgan le Fay) and seems to fit that role. If you can consider what sort of a personality your nameless character possesses, sometimes you can find a letter, or a couple letters, that especially fit - thereby narrowing down the list of names to go through.
Another way is to take into account the meanings of names; taking whatever you already know about the personality of Unnamed, you can find names by their meanings and pick one that sounds right and fits. The meaning of whatever name your character has can often play into a story - sometimes this is planned, and sometimes it is completely unintentional.
And then there is the third way, usually necessary for the most elusive characters who are simply too shadowy to fulfill any of the requirements for the above options: go to a source and start searching through names, taking into account both letter-imagery and meanings as you go. I've found it the most tedious way to go, but sometimes nothing else will work.