Just curious, since I've always found it tricky to decide on one.
For my part, I usually make up a nickname by shortening the name I originally picked. So, for instance, I picked the nickname Cat for Katrina on my first playthrough; Alex for Alexandra on my second; and Ven for Raven on my fourth. On my third playthrough, I had named myself Ilmarinen, and couldn't think of a good nickname, so I decided to just have Ilmarinen as the nickname. On my current playthrough I named myself Fox, which obviously is hard to shorten, so I picked the nickname Fox-chan.