Lake Desolation in upstate New York.
Iceland
Intercourse, PA
Cheesequake, NJ
Disappointment Valley, San Miguel, CO.
Cherepovets, a Russian city, with a name possibly derived from “Place of the Skulls.”
The Superstition Mountains (as famed from older cartoons).
Bonus points if you’ve had intercourse in Intercourse, PA.
Popple Dungeon Rd, in Chester VT. Just plain creepy! Google Popples if you don’t remember them.
Dead Horse Point, Utah
Starvation Mountain, California
The Cannibal Plateau, Colorado, site of the crimes of the Colorado Cannibal Alferd Packer.
Deadwood, South Dakota
Calvary, or Golgatha, “the place of the skull”
Great Slave Lake, Canada
Truth or Consequences, New Mexico
Picketwire Canyon in Colorado. Originally, it was named “Purgatoire” (i.e., “purgatory”) but folk etymology changed the name.
There’s a Purgatory Chasmin Rhode Island, and another in Massachusetts.
A number of places have the word “Misery” in their name (see for example “Mount Misery”) but I think a lot of these derive from the archaic definition of misery, i.e., “mercy”.
There’s still a Purgatoire River on maps, but locally it’s pronounced “picketwire.”
There’s also a Purgatory Creek, but the town of Purgatory has changed its name to the Durango Mountain Resort.
Panama has a Rio Limbo, which I guess is not quite as bad as Purgatory.
Desolation Peak, Washington.
The Rio da Dúvida (“River of Doubt”), Brazil, now called the Roosevelt River.
TheImpenetrable Forest, Uganda.
Some obsolete examples:
Murderer’s Bay, New Zealand, now called Golden Bay.
The Ladrones (“Thieves”) Islands, now the Marianas. (There are actually still some Islas Ladrones in Panama.)
In the early 1970’s, at the height of the free love, LSD, anything goes era I attended several very wild parties held outdoors with a couple of hundred people and encounters of every description. It wasn’t until many years later that I realized the humor of the street name where the parties were held in Chattanooga, Tn. which was Lower Cravens Place.
The Ocean of Storms, on the Moon.
Or thrown up from eating too much cheese in Cheesequake. 
The Slave Coast, Africa (now obsolete).
Mount Terror, Antarctica (named after a ship).
Mount Erebus, Antarctica, also named after a ship that took its name from a Greek god of darkness and region of Hades.
Desolation Wilderness isn’t desolate, by the way. All kinds of plants and water and wildlife. Some of the trails will make you feel desolate, however (curse you, Bayview Trailhead).
Yes, there is a place called Bumpass Hell.
There are some intentional fantasy named places, such as this LOTR neighborhood in Davis.
Devil’s Slide is a section of the California coast where Highway 1 was frequently closed (due to slides). I used to have nightmares about driving such a road at high speed.
Checking Wikipedia, I see there are five other “Devil’s Slides” if you include Teufelsrutsch in Germany. (I also see that tunnels have been built for Highway 1 to bypass the Slide.)
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There are some intentional fantasy named places, such as this LOTR neighborhood in Davis.
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It’s a shame Davis Bee Wrangling isn’t on Beorn Dr…