1987 Cadillac Sedan Deville: "Caddy", or later "Piece of shit money pit"
1997 Pontiac Grand Am: "The Birdshot" because when I first got it I hit a lot of airborne birds with it. Later, "Stupid piece of shit that I regret ever having bought."
2002 GMC Sierra: Never named it, it's just "The Truck", and it's always done everything and anything I asked of it.
2008 Rabbit: I'm thinking "The Rabbi", I could even remove the 't' off the badge. Then I could add a beard to the grille and earlocks to the mirrors in a photo...
My wife was talking about getting a Jetta yesterday, and thought she might name it the "Jedi" (derived, of course, from "Jetta").