I always name games I run. Whether it's going to be a campaign or only one or two sessions, a distinct name gives the players a point of reference, both immediately and long after the game is over. What's more memorable, saying you played in West Marches or “that low level game, the one with all the wolves and that monastery we never cleared out”?
A good name is the first step of setting the framework of the game. The name may tell the players what the game is about or just set a tone. “West Marches” was called that because it was all about exploring a particular region (the West Marches, surprise surprise) not wandering off elsewhere. “Bitter Season” took place in a winter freeze that was a bigger danger than the monsters. “Bloody Ears” was all about the hazards of psionic combat and “Twilight In White” centered around the downfall of a guild of white-robbed priests (subtle, yes). Any guesses what “Escape from Ulshadore” was about? Hint: you start in Ulshadore.
A good name can be worth a lot of intro. Of course if you don't want to give away any facts about the game you can still pick a name that everyone can latch on to even if it is basically meaningless. A friend of mine was supposed to run a sequel game called “One Night In Bangkok” and, other than the catchy song reference, to this day I have no idea why the game was going to be called that. But everyone involved knows exactly what game we're talking about when we bring it up, even though we never actually played it, and that was 22 years ago.
Another rule is that the name has to be something the players will be comfortable saying over and over, or else they won't. If it's too much of a mouthful, or a bit too clever, or just doesn't strike a chord, the players are likely to come up with their own name for the game, possibly something witty like “Jack's spy game.” Sometimes this is unavoidable. Events in the game spawn an ad hoc title which overrides whatever name you had in mind (who would intentionally name their game The Duck Group?). Don't weep. If the players adopt it and it doesn't ruin or blatantly mock your game, run with it. You're better off having everyone on the same page, using the same name, yourself included.
Next up: Naming Episodes