When we thought we were having just one baby, we had a hard time agreeing on names. But when we found out we were having twins, we came up with 4 sets of names within hours! The boys names were all family names (after my FIL, my dad, and both of my grandfathers); if they were girls, their middle names would have been my mom's name and DH's mom's name.
We also named them in utero - when it was just one baby, we referred to him/her as "Junior", but A and B just seemed too impersonal. As soon as we found out they were both boys, we assigned names - James was on my left side, Bryan on the right. Our doctor was so sweet - he always called them by name when he checked for heartbeat (I suspect he checked the chart each time to remember who was where, but it was still sweet).
Even though they are identical, and even weighed the same, Bryan was born with a full head of hair; James just had fuzz (we could tell them apart even in the dark for months). As someone else mentioned, James never looked like a Bryan, nor Bryan like a James. for a few days I toyed with calling James "Jamie", but it didn't suit him at all. He is almost 13 years old now, and is still James, though some of his friends call him Jimmy.