I spent the first few days brainstorming.  I used http://www.whois.net to investigate which of my possible domain names were available.  I also used http://www.seologs.com/dns/domain-check.html to check the age of my desired domains, although ultimately I ended up picking a domain that had never been used before.  

During my brainstorming sessions, I wrote all of my possible URLs on a piece of paper so that I could cross them out, rank them, etc.  I wrote down possible names that were both keyword rich or branded names.  There is helpful information about this on Problogger.  I ultimately chose a branded style name because I thought it sounded catchy.