Mine is pretty simple, I wanted to be Pyro, but that was taken, so I chose PyroShadow. Why Pyro/PyroShadow?
For one, I like fire. The other reason is, back in the day, when I first made an xbox live account, I named it PyroShadow3. Now, I try to use Pyro, or any forms of my gamertag as usernames. Keeps things simple.