Disclaimer that I'll say right off: I AM NOT ASKING FOR A NICKNAME.
But I think about nicknames. I've never really had one. "Christopher," "Chris" and "Walsh" have served me well for 34 years. My brother has gone by a nickname most of his life: his full name is Thomas Munroe Walsh, Jr., but by age 2 my dad's parents had come up with "T.J. Walsh." (And later, when I was very young, I further shortened his seven-syllable name into the single syllable "Teej.") But nothing ever stuck on me, nickname-wise.
Still, I may have been a little more aware of nicknames because my dad was a Navy RIO -- he flew in the back seats of F-4 Phantoms and F-14 Tomcats, doing several jobs so that the pilot could focus on keeping the plane aloft -- and all Naval fliers have a call sign. A call sign's a fancy nickname. Dad's was slightly a joke: Alfie, after the Michael Caine character, because once (once!) when he took off his helmet his mussed-up hair looked kind of like Alfie's. But it stuck. Even retired, he's still Alfie.
Once when I was a teenager, I asked Dad "Why doesn't someone give himself a call sign?" Dad said, "They just don't." "Why?" I asked. "You'll understand later," he said. Which I finally did, when rapper/music producer Sean "Puffy" Combs declared he'd be known as "P. Diddy" from there on out. Years before Combs did it again and took the nickname Sean-John, the understanding hit me: it really can be an arrogant thing to do, declaring that a nickname Must Be This.
I've seen that done well once, though: my cousin Amy (who I once called "the lesbian version of me," which is scarily apt) was an ambitious kid who, at age 12, read Rebecca by Daphne DuMaurier. She loved the book (as I would, years later) and was very taken by the name Maxim DeWinter. She liked that "Maxim" was a powerful, and adrogynous, name. She remembered it. In her professional life (ranging from dancing to computer support at Speakeasy) she became known as Maxim, or just Max. I've teased her with my own variations, "Maximy" (combing Max and Amy) and "Maximus" because she'd loved Gladiator. In fact, she and I have joke interchangeable nicknames for each other, like how the leads in Rosencrantz And Guildenstern Are Dead sometimes get called by each other's name. But that's our private joke. It wouldn't work as a public nickname for me.
So. Some musings on the role of the nickname. Shoot, this isn't reaching a rousing conclusion.