Do you come up with surnames (last names)?
What he said. For some characters--and some cultures--it's appropriate. Sometimes it's not.
For instance, we're about to start a Mythic Greece campaign. No last names there.
But even in a more traditional setting, it depends on the character, his homeland, and his culture. I've played characters with one name, two names, and occasionally three. I've played characters with titles and honorifics. It all depends, and I don't think I can honestly say I have a standard one way or the other.
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