Almost everyone I know that is currently pregnant (and some that aren't yet!) know what they're going to name their baby. I've heard ultrasound after ultrasound gender update that included what the baby's name would be. And I don't have a clue what my little one's name should be.
Of course, I haven't done anything but browse haphazardly looking at names that may be suitable. I know what her middle name will more than likely be (which is usually easy as we use a lot of family names for middle names), it's just picking a first name to go with the middle name that makes it difficult. Never mind that it MUST be Irish/Gaelic/Celtic in origin (the more traditional the better).
Knowing that it's hard for us (last baby was named the night before he was born, one before that when she was 3 days old), I almost avoid it. Maybe I'm afraid to pick something out, and then a better name will come along and I'll have to change it? I'm sure that baby doesn't care what I call her in utero, but changing from Sally to Sue (examples!!) may be awkward to me. So she's just "the baby". And even when she's born, for a couple weeks as we get used to her having a real name, she'll still be the baby. And maybe for a couple years after that too - as we have the habit of calling the youngest child the baby until the next one is born. I'm sure the last baby will be called the baby well into adulthood. Maybe we should forget about a college fund, and save for the therapy bills for that one?