I prefer to use the name suggestions in the PHB and mix them with cool sounding names I've heard elsewhere. For example: My Swordmage is named Damasei. It's a mixture of one of the suggested names and Sasei(a screen name on the Green Ronin forums). Story-wise he mixed his given name with that of his Human grandfather and now goes by Damasei as a tribute.
I think what best constitutes a Tiefling name is one with harsh sounds. Combined with a roller-coaster like effect with softness, you get awesome.
Take 'Kallista', the name of my female tiefling. K and T, with L to seamlessly connect the two.
Bad example: Bjorkus, the name of my Minotaur. While having several hard sounds, there is no break, no calm before or between the storms. This creates a name that is tough n' gruff, too harsh for a tiefling.
I totally dig the russian/eastern european theme that some others have mentioned.
In the next campaign I play, I'll be a Warlock|Swordmage Tiefling, named Urigol bu'Det, Uri to his friends, with a thick ruskie/eastern euro accent. He will use a longsword fluffed as a chain, and use the slide from his Eldritch Strike spamming to help RP it to legitimacy.
I'm having a lot of trouble coming up with a name for one of my Tiefling characters, I know people say that Tieflings can also have human names but I'd like to stray away from that as far as possible because they aren't human; they are a completely separate species I know at one point they were human, however, now they live as exiled half-fiends who are outcasts from societies!
Sorry, I began to ramble. *ahem* Anyway, down to business, I'd like your help coming up for a Tiefling name. Let's hear a few please, preferably a lot! :embarrass
If you look at some of the suggested ones, Tiefling names tend to sound Latin-esque, (Morthos and the like...). In keeping with this, you could simply use a Latin based word, Entropy works well, or names from Roman mythology such as Atropos (the fate who cut the thread of life).
You could also follow the formulae I use for my characters, pick a couple of words that describe them and use bastardizations of them. For instance, I have a Tiefling Warlord ready to go who I named Sangan Ferteck. Sangan is based on the word sanguineous (meaning relating to blood) and ferteck came from the latin word for iron, ferrous. I thought it was a rather appropriate name for a melee character with a bit of an avenging streak to him. This can be used for almost any character race. Alternatively, sit down and start saying names out loud and refining them as nessecary.
Given the whole, angel/demon biblical history, I tend to favor thinking of angelic names and then changing them to make them sound less majestic for any demonicish character. Andrasellion to Andras Ellon.