Well, after decades of world-building and tweaking I guess I can say coming up with names is easy...now.
Generally speaking I went region to region, figuring out what "sound" I wanted for a given people/language branch. How many syllables is common. How are surnames developed (does everyone get their own or do families keep an honored name for generations?) Throw in a given convention or two and just stick to those guidelines.
Also, where possible (not necessarily everywhere/every language, but here and there) work in some kind of cultural reason for why things get named the way they do.
For example, the [human] kingdom of Mostrial was envisioned as a celtic-flavored warrior-based society for whom one's personal (and familial) "honor" is very important.
So naturally, names for those people have celtic/gaelic sounds (or my idea of them). Lots of "y"s, "eo"s, "ae"s and "-wyn"s, "L"s, "n"s and "th"s: Calidwyn, Kelethon, Eoril, Eothil, etc...
Surrnames are denoted, almost exclusively, by the prefix "Eth" (meaning "son of" or "from (native son) of"), i.e. Talador Eth Eoril. Being very "honor" oriented, a Mostralian's surname is a very serious thing to them. Noone wants to soil the reputation (honor) of their family name. Doing so generally means they are "cut off" and must make their own name.
This works well for the world consistency as Mostrial is basically a former elvin realm that became a joint elf-human realm (when humans came to the world) and eventually was sort of overrun with humans (so the elves left), so the fact that a Mostalian name might sound similar to an elf name makes sense.
For elves, I went fairly "generic fantasy elf names." Lots of vowels, almost always soft (I created a few accent marks to denote long or hard vowel sounds). Lilting or cascading consonants. Lots of "L"s and "th"s. Endings with "-in (or yn)", "-an", "-ir" and "-is" are all common endings. 3 or 4 syllables is most common. Some elf character names: Erilyn (AIR-ih-lin), Erevan (AIR-eh-van), Siniiris (sin-EER-is), Anthaleral (an-thahl-er-ahl), Drythantalir (dry-THAN-tahl-eer).
This also led to developing bits and pieces of an actual elf language (including some grammar) for common words/place names so that names can have some meaning in human Common [i.e. English]. So the elf realm of Evandrial (evand=silver, rial=song) might be referred to as "Silversong" in a human bard's tale. "D'" is the elvin prefix for a river, so practically all rivers on the continent begin with that: D'Alevia (River of Life), D'Evand (River of Silver/the Silver River), D'Drathas (the Healing River), etc.
This is also useful for those who like what I call the "Nature Name" game for elves and others to have a workable translation that supports the world's verisimilitude.
IOW, a character named Soalryvai ("Soh-ahl-RIV-ay", literally translates "One who is the Leaf of the Sun") may wish to have his companions in human lands simply call him "Sunleaf" or some such, since the human tongue/accent speaking the elvin language is generally an unpleasant, grating sound for elves.
Linguistically, across the world then, it becomes common that the elf in human lands would formally become known as both, humans believing his name to be "Soalryvai Sunleaf"...which is not technically true/would not be the case among elves.
I did a similar list of "important/common words" for dwarves, more for clan/surnames than anything else. Again, the sounds of names and words that sounded to me like the gruff harsh attitude I imagine many/most dwarves having. Lots of short (1 or 2 syllable) words. Hard sounding consonants. Lots of "-or"s, "-ar"s and "-on"s. The "oo" sound is common. "X"s and "D"s and "K"s. Sample names: Duor (DOO-or), Feoron (FEE-ohr-ahn), Kiar (KEE-ar).
Ok, well this got...um...way long. Point is, I come up with a few conventions or sounds I like for a given region/nation/people that culturally/historically make sense with what's going on in the world around-and before-them) and then just follow that.
Doesn't have to be an entire language. But words (including names) flow from various places and (if there are interactions between the realms) get borrowed or shaped by other languages. So take that into account.
Have fun and happy naming.
--Steel Dragons