I just listened to Mark Maron interviewing Chris Cornell on the WTF podcast, and Cornell said that the Soundgarden name worked in their favor when they were an opening act. People expected something ethereal or a bunch of noodling shoegazers, and were pleasantly surprised.
They also hoped for sponsorship from Birmingham brewery Mitchells and Butlers, billing themselves as The M&B 5 and painting the initials MB on the bass drum: when the brewery declined, they were stuck with finding a name that matched the initials.
Windmills. The name is an indirect reference to Don Quixote. There was an old movie with the same name, containing the exchange (paraphrased from memory):
“You’re just like Don Quixote, always tilting at windmills.”
“Nonsense. Quixote thought that every windmill was a giant. I merely think that they might be giants.”
If you told me there was a band named after a character in The Neverending Story, I would expect some kind of light, kid-friendly pop band. Nope. Atreyu is a metal band.
The 1970s band Death* was not a metal band, but one of the first groups to play a punk rock style.
They basically shattered any expectations you might have for any band. Variants of this band (3 black brothers from Detroit) have also played funk, gospel and reggae. http://en.wikipedia.org/wiki/Death_(protopunk_band)
*There’s another band named Death, but they play the metal style you’d expect.
It still might not evoke images of moody proto-goths, but you do at least get a slightly better idea of why they were so dark and gloomy if you know where they got the name.