Think of any nicknames you've been given over the years. This is a good start, though some nicknames may need tweaking to really work.
Study other tags. You can find plenty of inspiration on the street, in graffiti books and online. Make note of how the name affects the way the letters work together; the letters should appear married together as a single entity.
Look through the dictionary for words with interesting sounds and letter combinations.
Keep a list of possible names, but eliminate the ones that seem too common (other graffiti artists who use that tag) or don't fit your personality.
Try out each of the tag names in different hand styles or letter forms.
Adjust the word to become compatible with your hand style. For example: "S" could be changed to "Z" and "I" could be changed to "Y." You may also have luck reversing the letters in the name.