I have an Argonian named Smells-His-Feet.

My rationale for that is it's a poor translation of his Black Marsh name, which is unpronounceable for non-Argonians.
Sometimes I reference other things with my names. My Nord, Buliwyf, is named after Vladimir Kulich's character from the 13th Warrior. Vladimir Kulich voiced Ulfric Stormcloak. There's a female Altmer NPC named Nenya, which is the name of one of the three elven rings of power from Lord of the Rings. There's another Altmer named Nirya, which is almost like Narya, which is another ring. I named mine Vilya, which is a reference to the third ring.
Breton names seem to be mostly French, Gaelic, or Anglo-Saxon sounding depending on the game. They often have surnames/family names. I have a Breton name Genevieve Desele.
Redguard are kind of weird. Most of the ones in Skyrim and some of the other games seem to sound at least a little Middle-eastern. A couple sound African. But then there are some with completely "normal" names, like Wilbur. What is that? I tend to go more with the Middle-eastern. Most don't have surnames. My next Redguard is going to be named J'avarr ibn Rassad (ibn essentially means "son of" in real life so Rassad would have been his father's name, not his family name.)
Orcs ofter sound gruff and have a lot of
z and
k sounds. Also, Orcish last names are generally the name of the parent of the same gender. So if Orc-man Burz had a son with Orc-woman Orbul and they named him Shagrol, Shagrol's last name would be gro-Burz. If the same couple had a daughter named Yazgash, her name would be gra-Orbul. gro- is male, gra- is female.
Imperial names are usually
very Roman sounding. i.e. Hieronymus, Bruccius. You could probably have one named Nero Augustus Bacchus and it would be lore-friendly. They usually have surnames.
Dunmer seem to have a lot of
l,
v, and
y sounds. Double-L and HL at the begining of a name are common. Llendo, Hlaalu. I believe their surnames are usually clan names. All of my Dunmer have been of the Talvalu clan or family line. Andryn, Orvyn, Ryvas are some of my males. Ashlander Dunmer, on the other hand, usually have Messopotamian-ish names. Assunbahanammu. Yeah.... Lots of double-consonants. Seems to usually be
ss and
mm.
Khajiit often have prefixes before their names, though these seem to be more common in males than in females. Prefixes usually mean something. Dar means thief/clever, J/Ja/Ji is young advlt, S is advlt. They usually don't have surnames.
Nords have Norse names. They don't usually have traditional surnames, instead having clan names or descriptive titles. Some are hyphenated. "Stormcloak", "Grey-Mane", "the Fair". Real Norse surnames were often patronymic or matronymic. -son is "son of" -dottir is "daughter of." Lief Eriksson is Lief, son of Erik. Names like this don't actually appear in TES anywhere, but I don't think it would be completely lore-breaking and might be something to keep in mind.
Eek! I got a little carried away there, but I hope this helps. I usually got onto the UESP as mentioned in an earlier post, check out the name lists, and see if I can't figure out a pattern from the names listed.