First one that comes to mind for me is Incubus. A demon that has sex with women as they sleep; has to be an extreme metal band, right? What, you say it’s a poppy modern rock band? Wouldn’t have expected that.
IMHO, fun. isn’t. 
Their songs sound sorta peppy but the lyrics are sorta “downers”. (Didn’t we have a thread on that recently? 
)
Bare Naked Ladies. Neither bare naked nor ladies.
Extreme
I’ve been to more than one BNL show where they came out naked at some point (and the rumors about Ed are quite true), so it’s not a completely inaccurate name.
10,000 Maniacs had some trouble getting booked because of their name.
So did the Fine Young Cannibals
Daft Punk, to my knowledge, has never recorded a punk song.
Nor did the Moody Blues ever record many blues songs.
Nirvana sounds like a new-age whale music type band.
There was a time where I knew a lot of songs, but not necessarily who did them. Sometimes I’d “discover” a group or artist that had been around for a decade or more and already famous, because while I might know their early work, I didn’t know they were the one(s) who did it.
In the 80’s and 90’s I would go to record and CD stores and look through my favorite artists, and artist’s I wasn’t familiar with. Every now and then I’d come across Electric Light Orchestra albums. Just judging by the name I was assuming that the music must be… Well, I didn’t have an idea, I just expected it to be unique, different, probably experimental. Then I learned what songs they’re famous for and that they’re mostly 70’s pop rock… I like their songs like “Evil Woman”, but it was such a big letdown from what I had built up in my mind.
Vanilla Fudge did not sound like a tasty confection.
I always thought that April Wine was kind of a wussy-sounding name for a rock band.
I always thought the Deftones sounded a better name for one of those shit nu-ska bands that were popular for a couple of months in 1995.
A kiss is supposed to be soft and gentle. Music by the band KISS mostly isn’t.
And yes, I know the band’s name means “Keep it Simple, Stupid.”
Birthday party music should be happy right? Well the band the Birthday Party didn’t get the message. (They’re the band that launched Nick Cave’s career.)
The name “Cowboy Junkies” has always sounded to me like it should belong to a hardcore country-punk band.
Eagles of Death Metal
Surely you jest.
Kiss originally (after Wicked Lester) thought that “Fuck” would be a good band name, but realized the commercial limitations with such a name, and so settled on “Kiss.”
ETA: It’s not an acronym at all.
No, “Cowboy Junkies” is one band whose name perfectly matches the sound they make: country-western music drifting along in narcotic languid torpor with no emotional countour.
Nope. I was serious. But wrong. And don’t call me Shirley. 
However I looked up KISS’ Wikipedia page, and while I don’t doubt they may have considered “Fuck” as a name, the article says that Paul Stanley came up with the name KISS after learning that Peter Criss was in a band called Lips.