It depends on the culture. In many North European countries, it is common to pick up the phone and immediately announce your name.

I believe that the caller should identify himself first. Callees might (understandably) not want to give up personal information (such as their name) to unknown callers, who might have bad intentions.

I guess one exception would be if you're a celebrity with a very recognisable name, you would not want to announce your name before being sure that you have the right person on the other side of the line, just in case it's a wrong number.