Few UK ones here:
Cockermouth
Bury St. Edmunds (queue old joke: “I’m going to Bury St. Edmunds today” “What!!? I didn’t even know he’d died!”)
Llanfairpwllgwyngyllgogerychwyrndrobwyll-llantysiliogogogoch
I live 15 or so miles from here. You will find Big Bone Lick State Park conveniently located on Beaver Lick Road. We are all much embarrased by this unfortunate occurance.
Verbena beat me to Soddy Daisy, darnit. How about these: Bucksnort, TN; Lizard Lick, NC; Fuquay-Varina, NC. Also, there’s the town where I went to college, beautiful Cullowhee, NC (it’s not exactly funny, but it’s tremendously fun to say.)
How cool, Mastema. We visited a buddy from work who moved to the Cincy area and had the distinct pleasure of seeing both those landmarks. This was back in 86 or so. Not back there since. Lovely area.
Nowhere near as silly as those above, but an interesting story none the less:
They say that the mailman couldn’t pronounce Chicamacomico, so he changed the name to Rodanthe, NC. Go figure.
Due West, SC
Ninetysix, SC
It was, of course, named for the Gilbert and Sullivan operetta, although naming towns after operettas is a rather strange practice no matter how much fun they are. 
Oddly enough, I have not been there, although I have been to Hell – yes, and back again, albeit not in a handbasket. In point of fact I went on a bus…
Dry Prong, Louisiana.
Last weekend I drove by Toad Suck Park, in Arkansas.
Also, between Atlanta and Athens, Georgia, one passes Ho-Hum Hollow Road and Drowning Creek.
My mother was born in Dry Knob, Missouri, and when I was a young lad we lived in Loco Hills, New Mexico. Later we moved to Texas on a farm a few miles from BugTussle, Texas. There are also a pair of cities in the Texas panhandle named Dumas and Dimmit, which I always pronounce ‘Dumb-ass’ and Dimwit. When traveling west, I always pass through Clyde’s Corners, New Mexico (nothing but a big truckstop/giftshop/restaurant) and Truth-or-Consequences, New Mexico (actually named after the game show!)
I almost forgot, I drive through Venus, Texas several times a month. I have no idea what the residents call themselves, Jim Bob and Lurline, probably. 
aww, man … Mastema beat me to Bucksnort, Tennessee. I had been told about it, but never believed anyone until I saw the sign with my own eyes.
How about Turtletown or Only, TN.
Also in Georgia:
Enigma and Talking Rock. There’s also a locality called “Mount Pleasant.” Now the thing about ‘Mount Pleasant’ is that it’s on the South Georgia coastal plain, which is as flat as a pool table. Which means that “Mount” must be a verb, and “Pleasant” is probably some companionable gal’s name.
We also have a Murder Creek, a Foe Killer Creek and a Jolly Creek. The first two were definitely NOT named by developers (actually Foe Killer was named for an Indian warrior who lived along its banks).
And there’s also a Knucklesville Road. Which implies that somewhere along there is or once was a locality known as “Knucklesville.”
From Kentucky:
Hazard
Dwarf
Happy
What a delightful outpouring of city names. To help fan the fires I’ll add in a couple more from Arkansas. Yellville (I guess this name originates in the days before they had a phone system concerning how they would communicate), Possum Grape, (it’s in a wet county, I always go there to get my tequila), and Timbo (which is an odd name, because I know a person named Tim, often referred to as Tim-bo, yes, we’re hillbillies).
Squirrel Level, NC.
Yeah, level as in reamed by a semi
There’s Cooter, Missouri, which isn’t far from Promised Land, Arkansas.
Snatch Creek, Kentucky.
Coocheyville, Virginia is near Crapo, Maryland. The sister city is Shite Creek, Idaho.
Isn’t there a town near Pittsburgh called Dick, Pennsylvania? I wonder of folks from there settled Weiner, Arkansas?
Finally, there’s Podunk, Connecticut.
Somebody already mentioned Dildo, Newfoundland. But they missed the town of South Dildo!
There are many lovely names in that province!
To wit:
Jerry’s Nose
Come By Chance
Joe Batt’s Arm
Witless Bay
Heart’s Content
Heart’s Desire
Little Heart’s Ease
Tickle Cove
St. Jones Within (and it’s twin, the abandoned village of St. Jones Without)
Camp Boggy
Goblin
and many others!
Street name: Cretin Avenue, Saint Paul, Minnesota.
County name: Pee Pee County, somewhere in Minnesota.
Body o water: Pee Pee Creek, same place - someone carved PP in the 1700’s.
Cities/Towns: Climax, Kerkhoven, Sleepy Eye, Clontarf.
The last one is Irish, I think, and I don’t know what it means. But just say it–doesn’t it sound big and ugly? KLAWN TARFF. Arf!
Cant forget Whykickamoocow in New Zeland.
Hey I live about 10 minutes away from Clontarf 
It’s the english butchery of the irish “cluain tarbh” which means meadow of the bull.