[dan ackroyd as tom synder] So, Mick, I gotta ask…why Jagger? Why Mick Jagger?[/dan ackroyd as tom synder]
[mick jagger] Well, it was my father’s name…it was his father’s name before that…[/mick jagger]
[dan ackroyd as tom synder] Fair enough, sir, fair enough. [/dan ackroyd as tom synder]
Hey. What about Stumpy Joe Pepys?
Also, I second The Edge (better yet, Mr. The Edge).
Sun Ra
(okay, not actually “rock & roll”, but still a wicked cool musician’s name.)
Ahhh you stole mine.
A few more i like
Johnny Vatos - Oingo Boingo
Jello Biafra, D.H. Peligro and Klaus Floride - Dead Kennedys
Grace Slick’s given name is Grace Barnett Wing
(I didn’t know that, I googled because I found it hard to believe)
Grace Slick is still a real name, though. Her first husband was Jerry Slick.
We’ve had DJ Bonebrake, Billy Zoom & Exene Cervenka listed. I’ll throw in John Doe. and declare that X is the winner. 
Yes, but his real name is Gerald Whiterabbit. 
Madonna and Cher - both their real first names.
Can you imagine how their careers would have been if they’d been named Mary and Christine?
Cher’s real first name is Cherilyn.
Buck Dharma - lead guitarist of Blue Oyster Cult
I have a few more:
Lee Ving, Spit Stix & Derf Scratch from Fear
Genesis P-Orridge from Psychic TV
Buster Poindexter (aka David Johansen of New York Dolls fame)
and an icon that can’t be forgotten:
Here are some names I love from the type of music I listen to:
Kirsty MacColl
Heather Nova
Loreena McKennitt
Lene Lovich
Mary Margaret O’Hara
Milla
Nico
Noe Venable
Sam Phillips
Sandy Denny
Eleftheria Arvanitaki
Diamanda Galas
Sharon Shannon
Sheila Chandra
Siouxsie Sioux
Anna Domino
Vienna Teng
Eleni Mandell
Emiliana Torrini
Yma Sumac 
In a bizarre twist, my two very favorite female artists have names I wish they didn’t have.
Kate Bush (no relation that I know of. What a bad time to have that name)
Happy Rhodes (it’s her real name, and she’s refused to change it to please potential record companies, but, I hate to say, it keeps people from taking her seriously and she is a serious artist)
I think Exene Cervenka is my all-time favorite name. I love her, but I love saying her name. Exene Exene Exene!
I’ll see your Nico and raise you a Taco.
And how could you have a punchier name than Lou Reed? (His real name, BTW, despite the legends.)
Few more. (Again, real names AFAIK.)
Christine McVie
Jorma Kaukonen
George Thorogood
Mark Mothersbaugh
Janet Weiss [sub](dammit Janet!)[/sub]
Richard Hell (and the Voidoids - short-lived post-**Television **group and oneof the Best Band Names Ever).
Handsome Dick Manitoba, lead singer of The Dictators.
Wendy O. Williams (supposedly she had a W tattooed on each butt-cheek, and so spelt her initials when mooning) and the Plasmatics.
? (from ? and the Mysterians of “96 Tears” one-shot wonderdom)(real name: Rudy Martinez)
And a pair from the blues:
Howlin’ Wolf
Muddy Waters
Ah, but before marrying John, she was Christine Perfect in Chicken Shack.
(The PERFECT rock 'n roll name!)
Genesis P-Orridge gets bonus points for also being in Throbbing Gristle - possibly the greatest band name ever.
I want to nominate the band Chrome for having the most cool rock & roll names in one band:
Helios Creed
Damon Edge
Hilary Stench
Gary Spain
Buz Deadwax
Tre’ Cool, drummer for Green Day
Prince; changed his name to an unpronounceable symbol, that is rock n’ roll.
Bo Diddley
Frank Discussion (of the Feederz)
Lee Ving (Fear)
Darby Crash (Germs - was this mentioned already?)
I don’t “get” why Mike Ness (the name, not the guy) is so cool…