The captain of the Nautilus in the movie adaptations of Jules Verne’s novels 20,000 Leagues Under the Sea and The Mysterious Island never uses a name other than “Nemo,” Latin for “no man.”
Not a movie but, in the television series The Prisoner, the protagonist is never named, and is known only by the number that his captors assign him.
Terence Hill’s character in My Name Is Nobody.
And “Preacher” in Pale Rider.
None of the characters are named in the J-Horror film Versus. It made imdb-ing one of the actors quite difficult.
Which never made any sense to me because “The Bride” means about as much to me as “Beatrix Kiddo.” I think Tarantino was going for a Man With No Name-vibe and just couldn’t quite pull it off.
Milla Jovovich’s character in Resident Evil is never given a name. And for some reason critics hated this, so her first line in the sequel is “My name is Alice.”
Credited, yes, but isn’t he identified as Michael Myers in the movie?
None of the various Terminators have names.
Aren’t they all named “Cyberdyne Systems Model 101”? 
Only in the same sense I’m named “Homo Sapiens Mark 1”. Not that I’d turn down an upgrade . . .