Most of them pick fairly generic middle class names (Sophia, Catherine, Paul, and Jason for example), but every so often you get a name that makes you go "What what what what what what?" (at least internally).
In the almost 2 years I've met students called Evil, Devil, Panda, Eiffel, Yuki (it's popular in Japan, but it's not a Western name), Moon, Phoenix, and Lucky.
Recently, I asked the young lady why she picked Lucky. She said she wanted to call herself Clover, but that wasn't a name in the west.