Characters names are generally considered the easiest part of writing, but you'd actually be surprised how many authors struggle with something that seems so simple. Naming your character is like naming your child; it's a very picky process and you want it to reflect the person you think your baby (character and offspring) will become.
1) As always the best sources are baby name books. They usually have a wide variety from different langauges and ethnic backgrounds, and usually have history or definitions of the name.
2) You might like a name from another novel. Just be careful at plagerism and make sure your character isn't a replica of the other character.
3) Another great source is retail clerks. They generally wear name tags. There are so many unusual names, or unusual spellings for a common name that it's astounding.
4) Mythological heroes and heroines are another great source for names as well. Dig through a book on mythology from the Aztecs or from India.
5) If you're inventing a character for a whole new world, "bastardize" the name to give it a unique spelling but have it prounounced the same. A favorite example of mine is Lynda Robinson, who writes the Egyptian mystery series The Lord Meren Mysteries. All of her names are uniquely Egyptian, but Egyptian names can be horribly long and hard to read continuously. She shortened many to nicknames for easier reading and uses the full name in formal settings only and for introduction of that character. A good idea.
6) If you're wanting a name who's definition reflects the personality or background of your character, as JK Rowling seems to, definitely go online. Baby name websites often allow the user to search by definition and then you can pick from there.
Be creative but be gentle to your readers. Make sue the names you pick aren't liable to give readers a headache if it's repeated twenty times on the page. Always keep in mind that the name is a good reflection of your character and always name wisely. Go with your gut; if the name seems to fit but it's labeled "boy" and your character is female, use it anyway. It gives your character a more unique quality and readers can always identify with a character who hates their name because almost everyone hates their name and wishes they'd been named something else.