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Often

My usual Big Meks are 'Uge Mek Grabwotz and Big Mek Lugnutz, for example.

I usually name a loadout. If i run a Big Mek with a specific loadout, that Big Mek is Big Mek Lugnutz. If i trade out the loadout the new loadout is another Big Mek.

I have a named command structure for my guard..Created for an upcoming campaign (Chances are that I will be remaking that structure after every game since all my officers will die xD)

I'm pretty lame about this. I name my guys, but it's all names from established fluff. Except my librarian is named lueth al'cosmos. Which was a name I've used in another game for years.

i have a firewarrior who has to be the worst fire warrior in the entire tau empire. he has never hit, let alone killed anything, he has never passed a leadership test, dangerous terrain check, his squad usually rolls low when they run (due to his tripping up) in fact the only thing you can say about this totally useless Tau, is he has an uncanny ability to pass armour saves, break from combat, and generally stay alive. he is of course named Shas'la Ukos (or spooner)

As far as my necrons are concerned, if you read the fluff, the less important a necron lord or overlord is, the longer and more pompous his name will be, we all know who Nemensor Zahndehk is, he doesn't really need an introduction, but my Overlord, being a somewhat non entity calls himself:

Sekhet The destroyer, Lord of the thousand suns, Whose magnificence knows no bounds, Wise beyond Words, Mighty beyond measure, saviour of the Necrontyr, He who cannot Die, Vanquisher of all enemies..etc etc

My opponents usually shorten it to just Sekhet, and roll their eyes when i feel compelled to correct them. his underling lords and Crypteks all have similarly overblown names, so my army lists are often quite amusing

I'm trying to make names for my Space Marines al the time.
I haven't got anything else next to Chapter Master Tybalt Nihilius, but well.

Necrons have no names. Every Necron can be replaced and names do not matter to those without souls.

Of course, it would be stupid not to. Everyone of us has names, why shouldn't they?

Of course, I don't name individual squad or team members, but every character has a name, as do tanks, dreadnoughts, and squads have a squad name, usually taken from their squad leader who is also named.
In my Tau army, every Battlesuit has its own name, even the Kroot Kindreds do e.g. Kindred Ag'Brag (named as such due to Shaper Agg'Brag).

Some examples from my Astartes army:

Chapter Master Arvidius Rex,
Company Commander Drake Ferrus,
Veteran Squad Spinacus (named for their leader, Lieutenant Carson Spinacus),
'Gun Dogs' - Storm Squad Beta (Tactical 2) led by Sergeant Mimus.
The Land Raider Redeemer 'Torrida Adeptus' (meaning 'Rolling Doom' in Latin).

A few examples from my Tau Hunter Cadre:

Shas'O Tash'Var Or'Es Kessan Tam'Ya Raatol - Meaning 'Fire Commander Tash'Var Powerful Wise Noble Mentor. It can also be shortened to just O'Raatol - Commander Mentor.
La’Rua’Ui Shas’Ui Tash’Var Jo’Dor’Ma M’Yen’Kai - Leader of my Stealth Team her name means 'Team Leader Fire Veteran Tash'Var Secret Hidden Blow'.
Tash’Var Shas’La La’Rau Kor’Esta’Vre - 'Tash'Var Fire Warrior Team Valiant'.
Tash’Var As’Kor’Bol’Vsum’Sen’Vel Y’Eldi - 'Tash'Var Piranha Light Skimmer Winged One/Gifted Pilot'.
Tash’Var Geo’Or’Ka’Mal’Vah Or’Es Mont’Ka - 'Tash'Var Hammerhead Gunship Powerful Killing Blow'.

Hows that for some names.

Well, no I don't. Moreover, I generally field no named (unique) HQ characters.

Always. Every sergeant and character in any of my armies will have a name; it makes for a handy shorthand when I'm building lists, and it's fun to have a base for interactions and dialogue between characters.