My three HDDs are named Ryu, Lin, and Nina. My 1GB Shuffle is named Odjn, which is a Dragon Quarter joke in Russian. I want to get a 60GB soon, but dunno what i'll name it. I might switch over to 2 HDDs, in which case the iPod would become Nina.
I'm leaning towards unengraved, but if I did engrave it, I'd say, "~NO MUSIC, NO LIFE~" which is the slogan of Tower Records in Japan, the chorus of a song by my favorite Japanese artist (Cocco), and a pretty good life philosophy.