I name mine in all caps as well, because the other menu options are written in all caps too.
The day they stop putting every menu option in all caps is the say I stop writing my character's name in all caps.
In Black, I named my character "Aman" as it is my nickname.
In White, I'll probably call myself "Black" or "Alphonse" after the incredibly hot Alphonse Elric. After I'm done deleting my save file for infinite Victini's. x_x