It's true that McCain's ex-girlfriend, the Washington press corps, is the one who nicknamed him "Maverick," but if his official 2008 campaign ads are any indication, he did not shy away from the label.
The thing with John McCain is that you have a very weird, personally likable but angry, inconsistent, and unpredictable guy whose incredible pride made him buy into his own media-created myth. He wasn't a maverick until his journalist friends decided to call him one, at which point he made that his entire schtick.
Though maybe McCain is a maverick. In fact, declaring that he's never been a maverick might be the single most mavericky thing he's ever done. This is really the maverick trump card: if everyone says McCain's a maverick, he'll show them by not ever having been one to begin with.
That's the leadership we've come to expect from that ol' maverick John McCain.