I do for a few reasons.
1.) If it's my original pattern I'd like to have a unique name.
2.) If I give a quilt to a person, I like to have it have a special name instead of "Terry's Quilt" "Bobs Quilt"
I think it gives the quilt even more personality!
Plus, it's great for documentation
*Edited to add* And I always label my quilts.