You can't copyright your name. Sorry. You also can't copyright something like a title to a movie or book. I still don't suggest you name your memoirs "Harry Potter and the Chamber of Secrets," even if your name is Harry Potter and your book largely discusses your Chamber of Secrets, but that would be because of a trademark problem, not a copyright one. Also, don't be upset next time you hear some celebrity copyrighted some stupid slogan. The reporter got his facts wrong, what he meant to write was "trademarked [some stupid slogan]." Go ahead, say "that's hot" all you want without Paris Hilton's permission (just don't put it on a product you're selling without checking with someone first).
You can't copyright your idea for a reality show. I've been asked that a few times. You could write it down in detail and claim copyright to that manuscript, but you can't stop someone from using the same core idea for their own work because of your copyright.
Facts & non-creative works
You can't copyright cold hard facts. There is a great case on this, Feist, that comes up in just about all conversations about copyright. In that case, a phonebook listing was not covered by copyright because it wasn't creative. The level of creativity needed for a work to be covered is very small, but greater than zero. Often, Feist is referenced if a person tries to register something that is no more than a collection of other works or if their creation isn't particularly creative.
Works of the Federal Governmental
Generally, things produced by a federal employee as part of their job is not copyrighted, at least they're not eligible for a US copyright. Feel free to use NASA images as your wallpaper good citizen. That doesn't necessarily mean that everything owned by the government is fair game, there may still be copyrights in things produced by contractors or transferred to the government. Further, works by some agencies like the US Postal Service aren't considered works of the US Government. Lastly, state and local governments often copyright their own works. There, clear as mud.
This is one tricky to understand, but if something has artistic and utilitarian aspects, but the artistic aspect can't be tweezed out of the whole to be copyrighted, then the whole thing loses copyright protection. A good discussion is in the Pivot Point case.
Clothing really falls under the Useful Items heading, but it usually slips out of the category because the designs at issue tend to be those that don't seem particularly utilitarian. It is possible to have some aspects of a piece of clothing be protected by copyright, such as a particular pattern, but the actual article itself is not. That is the reason why right after the Oscars you can buy red carpet fashion-knockoffs in any dress store. There is always some discussion floating around this last category because there is a decent argument that haute couture is not utilitarian. I wouldn't be surprised if Congress eventually got around to amending copyright law to address this.