Way back we used to play Doom and Warcraft using no real nicks. Our small group of friends started to team up with others for LAN-Parties and we were soon confronted with others using nicks instead of their own names, so we had to come up with one ourselfs.
Back then using english nicks was somewhat "in". I just watched the movie "Sneakers" and liked the ring to it, but looking up the translation for it made it quite obviously a bad choice. So I looked through the dictionary a few lines down and found "Sneaky", which had a meaning that was, by chance, quite fitting to my playstyle back then.
So I chose that and sticked to it since then for FPS games - in RTS games I switched to Schreckwurm and Dunstwolke (sorta my "training account" when I start out a game).