What a cool subject!
For me, there are a couple ways I pick out characters' names. Back when I first started writing, most of my stories were set in fantasy worlds, so I went through an old baby names book my parents had and wrote down a bunch that sounded really cool to me. I used that list as a sort of base, and more often than not I combined two or more to create one that worked for that particular story... Skeen, Norriem, Taleeko, Erowyn... It's actually really fun!
My current comic was somewhat different, because I designed the characters first (before the plot or anything), and I honestly can't remember how I picked out those particular names. I do know one thing I always consider is if a character is the type of person who would be given a nickname, and if they are, they are for sure going to get a name that's easy to shorten!
For coming up with names for cities, villages, etc. I usually end up writing a lot of random words backwards and seeing if I can combine them into something that sounds good.
I have always been a fan of cool, unusual names, so I'm never gonna have a main character who is named Kate (no offense to any Kate's out there lol).