They simply make them up - for a variety of reaons.
Take That got the name when they were talking about their ambitions for the band, and saying, "We'll take that, and take that, and we'll take that ..." and the phrase stuck. Gary Barlow told me that.
Any other band simply chew over ideas until one meets with approval, and they stick with it. It's not rocket science ... there you are - a band name right there!