One of the great problems a referee faces in building a homebrew world is coming up with names for nations, cities, and even people that are evocative, memorable, and roll off the tongue. You can always tell when you've failed: Your players will nickname whatever it is "Bob."
Professor Tolkien loved names and languages, and it shows. The names of his imaginary locales feel right because he had put so much thought into them, not only in giving them consistent meanings, but in giving them sounds that feel right to the ear.
Those of us not so blessed with his gift for tongues have the unfortunate tendency to pepper our imaginary worlds with an overabundance of hard consonants and extraneous y's. Sometimes this works despite our inability; Michael Moorcock's worlds are populated by many an unpronounceable name, and yet the chaotic arrangements of letters feel right in a backdrop of reigning Chaos. Oerth thrives on names like Ulek, Furyondy, Iuz, and Ket. Other times, however, the a poorly thought-out name results in snickers and broken enchantment in our players.
My own history with names is a checkered one at best, and perhaps because of this I jealously hold on to those which feel right from campaign to campaign. Galadan, the central state of the Great Empire of Man, is a holdover from my previous world, as is Westerlin. However, for each name that I like, I have three horrid ones: Ki'Torad, Sarakan, Shadhar, etc.
As I've worked on Asryth (a name that has hung around, unused, since my early teens), I've found myself taking a page out of Robert E. Howard's playbook. Howard was a master of mixing history and myth into a wonderful hodgepodge backdrop for his characters, most notably in Conan's Hyborian age: Nemedia (as in, "Lion of"), Ophir ("Golden Wedge of"), Shem, Stygia, Asgard, and of course Cimmeria are all names from ancient history and/or myth, and they instantly evoke in our minds an image of exactly what they are supposed to be like.
Paizo, makers of the Pathfinder game (a better legacy to D&D3.5 than 4th Edition), are no strangers to borrowing heavily from real world history and myth in creating their default setting. While the setting name, Golarion, could use some work, it earns its pardon with a plethora of perfect fantasy names: Absalom, the setting's Greyhawk or Lankhmar, gives us a vague feeling of unease, named as it is for King David's rebellious son. Osirion, the setting's Egypt, is named for Osirus. While not every name is perfect, they do tend to evoke the right feelings in the reader, because they sound so familiar, even if it takes us a few minutes to place them.
With that in mind, I've started pulling names from history, mythology, and fairy tale to populate Asryth with. Here we have Annwn, mist-shrouded land of the immortal Lord Arawn and his hounds. To the north and east of that is Thule, land of an almost albino people. To the east lies Ahazhurus, a land half-based on historical Persia, and half on the strange menagerie presented to us in the movie 300. There is Elysium, the land of the golden plains, and deep beneath the surface of the earth is Agartha, the City of Eternal Night. Across the southern seas are the Vagabond Islands, as they are called by the people of Galadan, which are the last remnants of Mu. The demon-haunted lands of Al'Adiin border Hivalla, the Land of Gold.
I may even name the capital of the Empire Gan'Eiden, and put a pair of trees in the center . . .