If he's a Breton from High Rock his first name should sound a bit French (though some Bretons seem to have names that sound English, like Sam or Delvin Mallory). If he's from the Reach, try Gaelic. http://www.behindthename.com/ is a good place to get inspiration.
As for the last name, try combining two things that sound warriorlike or nordic - shield, sword, bone, axe, winter, snow, ice, stone, brave, strong, blood...