I used to pick a unique name for each character until it got a bit too distracting. Generally my characters just boringly do the things that seem most sensible, although I do remember once playing a drunkard who took a swig of just about any random potion laying around, just for shits and giggles.
Not sure if it really counts as roleplaying, but now and then I do take time to picture a scene happening in the game with all the detail the game has to offer, as vividly as possible and consequently tend to assign some semblance of personality to the characters present.
I want to make another naga death knight and attack a fiery sorceress and her pack of hell knights in a room thick with smoke with my legion of the dead and two bone dragons, watch the dragons tear the knights into pieces and finally drive a halberd through the sorceress's throat after she has burnt the most of my legion to ashes and blown up one of my bone dragons to bony fragments.