Oh, that's nice, I thought it was compulsory...
That's a dodgy question. It should be "Do you nickname your Pokémon?" with the options "Always", "Sometimes" and "Never".
I do every so often. Usually in the second version of a generation and no other time. I played Black second this time round and gave my team nickname's from Shakespeare's Hamlet.
In order of them joining my team...
Hamlet the Excadrill
Yorick the Whimsicott
Ophelia the Volcarona
Horatio the Beartic
Laertes the Golurk
Fortinbras the Hydreigon
You'll notice I haven't used my starter. That's because this generation they're awful. Until I caught Hamlet, however, I used Claudius the Snivy & Polonius the Simipour. Claudius actually managed to evolve before I got to Wellspring Cave.