Rogue <- 2 reasons. First, great x-men character. Second, I always thought I was a little rogue like, always wondering off on my own on the backways.
Shadow <- Who pays attention to a shadow? People don't usually pay me much attention, so I figured Shadow. (and I thought it sounded cool as "Rogue Shadow")
Most people don't bother saying "Rogue Shadow", so they just call me Rogue.