I’ve got one save with a Greek mythology theme going on. Well, there are a couple of Sims in that save who don’t have names that are directly taken from the myths, but their names are taken from Ancient Greek words so they fit with the overall theme anyway. There are more names I could use for the next generation, too.
I tend to like using name themes. The only issue is that whenever I pick a theme, I end up liking the girls’ names more than the boys’ ones.
Aside from Greek mythology, I mostly use different nationalities (eg Irish, German, Japanese and so on). Sometimes I don’t have a particular theme.