I struggled with this when naming the company. Initially I felt like naming it after myself was lazy, or egotistical. Then I had some chats with a few mates, who felt that my name was an asset, and I read a few articles about client perceptions on names, and I decided to go with it. I'd be interested to hear other people's thoughts and discussion on naming your business, or someone else's naming choice.
Smart Company's Emma Koehn, has written about the responsibilities and implications that must be considered when taking this step.