Why is it yo ME llamo and not yo llamo?

Because in Spanish there is a category of verbs called refelxive verbs that end in se rather than ar/er/ir. When you use a reflexive verb you need to conjugate the 'se' part according to the person is referring to and move it at the start of the verb. In the case of llamarse the verb goes: me llamo, te llamas, se llama, nos llamamos, os llamais, se llaman. In English yo me llamo would be literally translated as I call myself.