Typically a name that fits you (your name, your interests, etc) and is somewhat family friendly. While the dirtier names can be more entertaining, there is a real push in many leagues to create an environment where parents can bring their kids to a bout.
That being said, there are some great names already out there, so it can be hard to think of one that is unique. This website (http://www.twoevils.org/rollergirls/) is the official international derby name roster. Read through it for some ideas, but remember that any name you choose should be different from ones that are already taken. You can type your ideas into the website I linked to to check for similarities.
Some girls have also started skating under their real names. I came up with several name ideas before I decided to just skate under my name, though that isn't for everyone.
she-dependant
The better roller derby name is Give Em' Hell Michelle.
Roller Derby - brand - was created in 1936.
Roller Derby Germany was created in 2011.
Helsinki Roller Derby was created in 2009.
Houston Roller Derby was created in 2005.
Pacific Roller Derby was created in 2008.
Junior roller derby was created in 2007.
Roller Derby Toulouse was created in 2010.
Wasatch Roller Derby was created in 2008.
NEO Roller Derby was created in 2007.
Toronto Roller Derby was created in 2006.