I was surprised to find out that Skywalker was one of the epithets used by the Norse god** Loki**. At least, according to Gaiman.
Two great SNL characters of Dan Ackroyd:
Fred Garvin, Male Prostitute
Leonard Pinth Garnell
Pussy Galore
Auric Goldfinger
Capt. Clarence Oveur
Rex Kramer
Theodore “Beaver” Cleaver
Bull Shannon
Mike Hammer
Teleporno, the formal High-elven name of Celeborn.
“Grevious Bodily” Harmon.
Lili von Shtupp and Hedley Lamarr from Blazing Saddles. I’m appalled that I didn’t think of them earlier.
The Other Mother
… Poor, poor Dr Tolkien…kicked in the nertz by changing language. >_>
Bob & Ray used to spin off some great names - often in tandem with great occupations, such as radio’s controversial Wally Ballou, or America’s outstanding lady unicyclist Miss Gwendolyn Frobisher. They also did “sign in please.” Someone would sign in as “Bonfiglio J. Rumplemeyer,” and then it would turn out he just had bad handwriting and his real name was something completely different.
Then there was Wwlqlcw (“We pronounce it Abernathy”).
More Pratchett: that great sailing vessel, The Prid of Anhk Moorpark
And Mary Backstayge, Noble Wife!
ETA: I forgot Percy Dovetonsils!
From a play I did in High School (The Clumsy Custard Horror Show and Ice Cream Clone Review):
Swashbuck Valpariso
Lord Dacron and his Two Hench-Women Polly and Esther (The Ice Cream Clones)
From the Discworld, I like the variations on Cut-Me-Own-Throat Dibbler (maybe they’re relations?). In Klatch there was a vendor named Al-Jiblah, the Agatean Empire gave us Disembowel-Meself-Honourably Dibhala, Cut-Me-Own-Hand-Off Dhblah from Omnia, etc.
Otherwise, my favorite character name is Simon bar Sinister from Underdog. Simon the Bastard. That has to have been a calculated bit of subversion on the part of the writers.
My high school art teacher used to joke about the Lear family, which made its fortune building business jets. The spoiled heiresses of the family were supposedly named Gonda, Shanda and Cava. 
You’re kidding, right? Please tell me Tolkien did not create an elf named Teleporno.
Ichabod Crane is a name that describes the character.
Clem Kaddiddlehopper and Freddie the Freeloader were Red Skelton characters
Max Bialystock and Roger (Elizabeth) De Bris from The Producers
Shining Lighttower from Battle Cry by Leon Uris.
Alas, it’s true: http://www.glyphweb.com/ARDA/t/teleporno.html He also named a coastal city Tuna and a marshland Wetwang. :: cringe ::
Hey, even Babe Ruth struck out once in awhile…
But that would have made him Major Major Major Major Major. (That’s five majors for anyone not bothering to count. :p) His full name given at birth was Major Major Major – his family name was Major, and his father gave him the first and middle names of “Major” and “Major” respectively, though he told his wife that he had named the boy Caleb. He was promoted to the rank of Major during boot camp, making him Major Major Major Major.
You want a name that describes the character? How about Stupefying Jones from Li’l Abner?
Then there’s my favorite, Buffy Anne Summers, which is a great and funny name because it doesn’t describe the character, or at least the part of her that’s “The Slayer.”
Uriah Heep
John Book
Remedios, La Bella