A new gamer tag, it's like a new beginning.

No bans, no bad blood, it's just time to find something that's new and a little more anonymous than my current tag (theWarren, I'll let you figure it out).  I was Inwa for a long time, I took the name from Elder Scrolls: Morrowind.  It was an insult in the game, and when i was looking for a name for my first MMO character ever in FFXI it just fit.  It stuck for a long time too.  Then it felt a little too otaku and that's not who i was at all, so i went more personal with theWarren or theWarrenMN.  Now that i'm getting more into gaming and doing it a little competitively, i need a pseudonym that i can be referred by. 
How do people choose "gamer tags"?