What are the valid characters for macro names?

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.

clang allows a lot of "crazy" characters.. although I have struggled to find any much rhyme or reason - as to why some are allowed, and others are not. For example..

#define 💩  ?:          /// WORKS FINE#define  ￭  @end        /// WORKS FINE#define 🅺  @interface  /// WORKS FINE#define Ｐ  @protocol   /// WORKS FINE

yet

#define ☎   TEL     /// ERROR: Macro name must be an identifier.#define ❌   NO     /// ERROR: Macro name must be an identifier.#define ⇧   UP      /// ERROR: Macro name must be an identifier.#define 〓   ==     /// ERROR: Macro name must be an identifier.#define 🍎  APPLE   /// ERROR: Macro name must be an identifier.

Who knows. I'd love to... but Google has thus failed me, so far. Any insight on the subject, would be appreciated™️.

You're right, the same rules apply to macro and identifiers as far as the names are concerned: valid characters are [A-Za-z0-9_].

It's common usage to use CAPITALIZED names to differentiate macros from other identifiers - variables and function name.