Create a list of names that you have always liked, or would have chosen if your parents had let you have a say.
Think about how these names would sound to your demographic. If you are writing a children's story, you would not choose a more sensual name like Bianca Deveraux. You might choose something a little more simple and catchy like Alison Jones.
Run your new name past a few people of the age and demographic your work is intended for. Ask them if they would read work by that author.
Make sure that although you are using a pen name, your publisher is aware of this fact and has your real name and tax information. You may want to add a detail about this on your resume when you list work under your pen name as a publishing credit.
Choose a name you know you can live with for years to come. Make sure it is appropriate for all the genres of writing for which you might want to use it.
Consider availability of the name on the Internet, for social networking sites and domains.