What a question - I wondered if a thread like this would ever come up!
It's a long story, but I'll try to make it interesting. I had the same situation as Dagorlad had with the GW site - I remember trying a few Rohirric names from the book like "Harding" and "Fastred" to see if they were available.
I settled on "Grimhelm", which is a type of masked war helmet used in Northern Europe during the early Dark Ages. The most famous example is the
Sutton Hoo helmet, although grimhelms are also mentioned in Beowulf a few times. The name is of Germanic origin: ''Grim'' derives from the word ''gríma'' meaning ''mask'' in several Germanic languages (such as Old English, Old Norse, Old High German and modern Icelandic), referring to the mask that defines the type of helmet; ''-helm'' simply means helmet.
This kind of helmet originated as a Roman cavalry parade helmet, and is based on late Roman "Spangenhelms". The front was covered by the metal battle mask, protecting the face. Coincidentally, Tolkien was planning to give Eowyn the name "Grimhelm" while she was at the Pelennor unknown to the Rohirrim (so that the grimhelm mask would disguise her), but he instead settled on "Dernhelm" so that Merry would be able to see part of her face (the dernhelm is the helmet she wears in the film, as it happens).
During Games Workshop's
War of the Ring Online Campaign, a lot of the forum activity was devoted to battle reports and roleplay, and the new character "Grimhelm" evolved into the "lord of Snowbourn" (which was my favourite region of Rohan). Later, I came to the One Ring to work on IGOTMEABOLTER's unfinished Silmarillion supplement (I was
to convert Elnaith, as a look at my early
gallery pictures suggests). The username "Grimhelm" had already been registered a few months previously (although oddly
that account was never used), so I went with the "Grimhelm of Snowbourn" profile.
Funnily, the project forum closed about a week or two later to move to another site, so that's how I ended up with a member of the One Ring!
Following the closure of the GW forum, the name also carried over onto TLA.
Since all that, I have been called "Grim", "Grimmy", "Snowy", "GoS", "Mr. GoS", and I seem to recall "Mr. Snowbourn" at some point. My favourite one, though, has to be PaulF's "By the Grim!"