For me, it depends on the world.
If I’m writing for a fandom, such as Lord of the Rings, or Dragon Age, I look to the fandom’s naming conventions. Tolkien resources abound online, nd for Dragon Age, each realm corresponds to a degree to a country in our own world. Ferelden is English/Scottish. Antiva is Spain. Orlais is France. So, using names from those countries works well.
As far as original work, however, that’s part of my world building. I absolutely agree with Des that you do need to adjust for balance. And for how it sounds. Say it out loud, because I promise you, your readers will, and if it sounds wrong, it takes them right out of the story.