Thursday Next, from Jasper Fforde’s novels.
April May June, from an episode of Married With Children.
(Aunt) May Parker, from Spider-Man.
May Day, from the Bond flick A View To A Kill.
January Moore, from Brian K. Vaughan’s Ex Machina comics.
Friday, from Robinson Crusoe.
King Friday, from Mr. Rogers’ Neighborhood.
Joe Friday from Dragnet.
Prince Tuesday from Mr. Rogers’ Neighborhood.
Who else? Any more “month” names? Not counting any characters named Octavius or Augustus; that’s cheating.