While it is impossible to have an objectively "cool" nickname, as they are quite subjective in nature, experimenting with shortening one's existing name or deriving a nickname from an inside joke or event are good places to start.
Think back to anything funny, dangerous, or daring that you've done lately; how can this be slanted into a nickname? For humorous effect, many nicknames don't act transparently but are rather a sly reference to one's previous exploits. More straightforward nicknames can be derived from a surname, or shortening one's name for ease. Whatever one settles on, the nickname shouldn't be forced; mulling on past feats and deeds will provide plenty of possible material for an enduring nickname.