Do you know if it's a boy or girl? I think if you don't know (or aren't telling) then its easier to keep the name a secret.
We didn't know what we were having but had the girls name picked from very early on. We were very clear from the get go that we wouldn't share our name choices and no one tried to get it out of us. I think the boy/girl mystery was more interesting than the name speculation.
I didn't have any trouble keeping it to myself, I love DDs name (it's not 'unique' or unusual but it's just beautiful) and loved the idea of introducing her with her name when she was born. I also didn't want people's reactions to weaken my resolve and question our choice.