Macro names should only consist of alphanumeric characters and underscores, i.e. 'a-z', 'A-Z', '0-9', and '_', and the first character should not be a digit. Some preprocessors also permit the dollar sign character '$', but you shouldn't use it; unfortunately I can't quote the C standard since I don't have a copy of it.
From the GCC documentation:
Preprocessing tokens fall into five
broad classes: identifiers,
preprocessing numbers, string
literals, punctuators, and other. An
identifier is the same as an
identifier in C: any sequence of
letters, digits, or underscores, which
begins with a letter or underscore.
Keywords of C have no significance to
the preprocessor; they are ordinary
identifiers. You can define a macro
whose name is a keyword, for instance.
The only identifier which can be
considered a preprocessing keyword is
defined. See Defined.
This is mostly true of other languages
which use the C preprocessor. However,
a few of the keywords of C++ are
significant even in the preprocessor.
See C++ Named Operators.
In the 1999 C standard, identifiers
may contain letters which are not part
of the “basic source character set”,
at the implementation's discretion
(such as accented Latin letters, Greek
letters, or Chinese ideograms). This
may be done with an extended character
set, or the '\u' and '\U' escape
sequences. The implementation of this
feature in GCC is experimental; such
characters are only accepted in the
'\u' and '\U' forms and only if
-fextended-identifiers is used.
As an extension, GCC treats '$' as a
letter. This is for compatibility with
some systems, such as VMS, where '$'
is commonly used in system-defined
function and object names. '$' is not
a letter in strictly conforming mode,
or if you specify the -$ option. See
Invocation.