Don’t let the title confuse you.
I’m not going to waste your time or insult your intelligence by going into a lengthy series of definitions of the various parts that go into making up the address of an internet site.
I’ll assume, for the sake of brevity, that you have at least a workable understanding of

• “www” - Wibbly Wobbly Website (Don’t believe the hype, that’s what it really stands for)
• “.” - Dot
• “com”/”net”/”co.uk” - The bits at the end

What we’re doing here is talking about what you’re going to actually call YOUR new website.  Figuring out what the domain name (the bit that goes in between the www. and the .com parts) is a very important decision and it’s going to hinge on what you’ve decided your niche is going to be.
If you’re setting yourself up with a blog about your personal life, or to act as an online CV, you might want to  just use your own name, like www.richardshepherd.com.  In my case, all the sensible variations  of www.kenjones.com were already taken, besides which, I had other, more specific ideas on what my website was going to be about.
If you’re planning on blogging about a particular subject you’ll probably want to try to come up with a name that includes that term, or at least some kind of keyword that relates to it, because having a keyword in your domain name helps to show relevance to search engines.
You’l also want to have something that’s catchy and easy to remember and that gives people an idea of what you and/or your site is all about.  For example, when I was coming up with possible names for this site, I had already decided that I was going to be writing about Search Engine Optimization and using this as a central resource for myself to test out various SEO techniques and methods, as well as trying to build up a repository for other people interested in learning SEO.  I also really like the Ops Centre concept (I’m a huge fan of shows like 24) and I liked the idea that SEOpsCentre gave me SEO and Ops Centre (my subject keyword and a nicely descriptive name) all rolled into one.
Alternatively, you could just make up a word (Squidoo anyone?), pick a real, but unrelated word (why is Amazon called Amazon anyway?) or be a bit of a clever sod by intergrating it with the bit after the dot (del.icio.us was a work of genius).

Once you’ve come up with a few ideas  that you like the sound of, the next step will be to check whether they’re already taken and register the domain of your choice so that you’ll be able to use it as the address for the shiny new website you’ll be making.
But that’s something we’ll cover next time.