So many historic figures from Persia have names ending in 's'. Xerxes, Cyrus, Darius, Tisaphernes etc. Herodotus at one point even mentioned the fact:
Here is another matter that is true of the Persians, and, though they have not noticed it themselves, I have. Their names, which express their bodily powers or their magnificence, all end in the same letter, the one the Dorians call "san" and the Ionians "sigma". On searching the matter out, you will find no exceptions to this among their names.
Do we know why so many names end in 's'? Is it part of the Persian dialect? Is it unique to noble names, or did common people also have names ending in 's'?
First, it's important to note that Xerxes, Cyrus, Darius, and Tissaphernes are the Greek versions of the names Xšayāršā, Kuruš, Dārayavauš, and Čiçafarnah.
Old Persian and Greek are both members of the Indo-European language family. In Indo-European languages, nominative singular (masculine) nouns typically take an -s ending. In Greek, for example, you have nouns such as theós ("god") and ónos ("donkey") as well as names like Sokrates, Perikles, Aristophanes, and so on. Similarly, you have nouns such as hassus ("king") and parnas ("house") in Hittite and servus ("servant") and dominus ("lord/master") in Latin. Some Indo-European languages dropped the final -s; for example, "fire" is agní in Sanskrit but ignis in Latin.
Turning to Old Persian nominal morphologies, there are several different declensions. Originally all masculine nouns ended in -s (as in Proto-Indo-European), but somewhere along the way, the Iranian languages began using two variants, (1) -h after -a- and -ā- and (2) -š after -i- and -u-. Eventually the -h was dropped, leaving the endings -a, -ā, -iš, and -uš.
In short, many but certainly not all male names end in -s. As you'll note above, Xšayāršā (Xerxes) is a prime example of an ā-declension noun that ends in -ā. Another example is the official Parnaka, one of the two most important officials in the Persepolis Fortification Tablets, though his name is recorded in Greek as Pharnakes. Additionally, royal women frequently had names not ending in -s, such as Irdabama and Irtašduna. Finally, names derived from Elamite (e.g. the official Humban-ahpi) typically did not take an -s ending, as Elamite is a non-Indo-European language and has a rather different morphological system.
For more on Indo-European linguistics, I highly recommend Indo-European Language and Culture: An Introduction by Benjamin Fortson. For examples of Old Persian names in Elamite texts, see Hallock's Persepolis Fortification Tablets and Cameron's Persepolis Treasury Tablets. For more reading on Achaemenid Persia in general, I have a reading list here.