I always rename my ship units, it helps when you're in the military advisor screen trying to locate a task group of frigates. When you name them you only have to look for one of the ships you remember being in that fleet.
I usually try to name the ships using historical names as best as I can remember them, Santa Maria for Spain, Golden Hind for England, etc. It adds a bit of flavour to the game and it's pretty exciting when one of your elite vessels sinks several enemy vessels, because you have named the ship you can keep track of which ones were the most victorious.
I usually name Armies too, for the same reason. It makes it easier to find the one you want when you have several armies in the military advisor screen if they're all named as 1st Infantry, 2nd Airborne, etc etc.