When Eve sees Roger Thornhill's initials—ROT—on his matchbook (who puts his initials on a matchbook?), she asks him what the "O" stands for. "Nothing," he answers.

Cinema lore explains this as a poke at producer David O. Selznick, who also said the O in his name stood for nothing. (He added it to distinguish himself from an uncle of the same name.)

But once we see what happens to our Mad Man, it's easy to see that the "Nothing" can refer to Thornhill himself, who spends most of the film being whoever other people want him to be. His identity's up for grabs for much of the movie. Is he an ordinary business man? An infantilized son? A drunk? A playboy? A spy? A hero? He even gets fake-killed at one point so that Vandamm et al. consider him a corpse. (Source)

It's through all the dangerous adventures that Thornhill comes into his own. Maybe after he settles down with Eve he'll figure out who he really is.