The president in Big Game is called William Alan Moore.
Rocket Ray Tracy, Black Cloud, and White wolf from Black Cloud.
Black Dynamite. Played for Laughs, as this is apparently his real name. In one scene, a few neighborhood girls remark that both their mothers told them that "Black Dynamite" is the name of their father. Looking guilty, our hero asserts, "A lot of cats have that name..."
In Boogie Nights the main character changes his name to Dirk Diggler. That's just okay, but the name of his character (in the Kung Fu ... er ... something-em-up he wrote) is named Brock Landers. (His partner Reed Rothchild's character is the even better Chest Rockwell.)
In the RiffTrax treatment of Daredevil, when Elektra initially refuses to tell Matt Murdoch her name, Mike Nelson fills in for her: "The name's Frigid McTurndown." Then, when Matt and Elektra start sparring, Bill Corbett adds, "Okay, I lied. The name's Stompy Von Asskick." When the character does reveal her full name (Elektra Natchios), they add "Electric Nachos?" Just can't win.
Deadpool has our titular nutjob finding Negasonic Teenage Warhead to be "the coolest name ever!"
The eponymous protagonist of Major Payne. His full name is Benson Winifred Payne, which isn't too great at all, but once he's joined the Marine Corps and attained the rank of Major...
Max Rockatansky from Mad Max, who was named such as a reference to physician and pathologist Carl von Rokitansky. As well as Imperator Furiosa and Immortan Joe from the most recent installment, Fury Road.
La Résistance and the people of Zion from The Matrix tend toward this, mainly to separate themselves from their former identities in the Matrix; having presumably chosen the names themselves at least partially justifies the trope. Even some native-born residents of Zion sport handles for names, like Tank and Dozer.
The titular Nemo Nobody in Mr. Nobody, who is the last mortal human after advances in medical technology have cured aging and decrepitude. "Nemo" also means nobody.
Almost everyone in Now You See Me but J. Daniel Atlas and Jack Wilder are particularly cool and epic, even if the former is possibly a stage name.
In Guillermo del Toro's Pacific Rim, character names such as Yancy Becket, Hermann Gotlieb, and Tendo Choi. Idris Elba plays Marshal Stacker Pentecost. Ron Perlman is Hannibal Chau (Invoked Trope; it's a mash-up of his favorite historical figure and his second favorite restaurant, he just picked the name because it sounded cool). Charlie Day is Newton Geizler. Charlie Hunnam is Raleigh Becket. The older Australian pilot is Hercules Hanson.
Say it out loud: John. RAMBO. This name oozes pure testosterone and has been widely adapted as a synonym for raging badass. It also helps that in Japanese (乱暴, rambou) it means violent, rough, lawless.. The character was named after a breed of apple which was, in turn, named after a Swedish-American immigrant.
The Rocky series is lousy with awesome names for his opponents. They include "Spider" Rico, Apollo Creed, Clubber Lang, Ivan Drago, Tommy "The Machine" Gunn, and Mason "The Line" Dixon.
R.O.T.O.R. has Barrett Coldyron, Detective Glorioso, Dr. Steele, and of course Detective Mango.
Bill Corbett: 'Detective Mango?! Is this a Jimmy Buffett mystery?'
John Shaft, the eponymous private detective of Shaft.
In She Devil is a character, an overly developed, and quite healthy woman named Olivia Honey.
One of the main characters from Smoke Signals whose surname is Build-A-Fire. His grandmother is known as Grandma Builds-A-Fire.
Parodied in Southland Tales when The Rock (whose character is named "Boxer Santaros", as it happens) is describing a film role he wrote for himself, ending with, "His name... is Jericho Cain."
MST3K's riff on Space Mutiny has an absolute firestorm of these as nicknames for the hero, such as Gristle McThornbody and Big McLargeHuge. So many that a few of the others on this page are direct Shout Outs. The funniest is the last one; Bob Johnson.
Junito Rocket Racer Rebel Cortez or Juni for short, from Spy Kids. Also, his sister, Carmen Elizabeth Juanita Costa-Brava Cortez.
In Star Wars: Luke's original surname was "Starkiller", but after a reworking of the character it was changed to Skywalker, which most people think is still pretty cool. Starkiller was later given to the player's character in the Force Unleashed video game. Many other characters have made-up names that some people find cool. Mace Windu, Han Solo, Lando Calrissian and Darth Vader are a few of the most popular examples, along with "Death Star", "Star Destroyer", "Lightsaber". Lastly, there is literally a character named Droopy McCool. He's a background musician in Jabba's palace whose name is never mentioned onscreen, but it's All There in the Manual.
In Superbad, Fogell gives himself the name "McLovin" on his fake ID because he thinks it's cool. One of the cops says it "sounds like a sexy cheeseburger", and Seth chews him out for choosing something that no one would believe is his real name:
Evan: It's up to you, Fogell. This guy is either gonna think "Here's another kid with a fake ID", or "Here's McLovin, the 25-year-old Hawaiian organ donor". So what's it gonna be? Fogell: ...I am McLovin! Seth: No, you're not! No one's McLovin! McLovin's never existed because it's a MADE-UP DUMB FUCKING FAIRY TALE NAME, YOU FUCK!!!!
Inverted with Terminator Salvation, in which an actress with the badass name of Korinna Moon Bloodgood plays an A-10 Warthog pilot with the boring name of Blair Williams.
Han Solo Berger in That's My Boy. No one can figure out why he uses the name Todd Peterson for his profession.
The B-scifi movie Trancers, and its many sequels, revolve around a time-traveling future cop by the name of Jack Deth. In a subversion, everyone he meets outside of his own time period mocks his name relentlessly.
Lester: Lester... Lester the Molester Cockenschtuff.
Zack: Wow. That's a great porn name.
Lester: I get to pick a porn name?... Then I want to be called... Pete Jones.
Derek Zoolander. Whose name is infact a parody of real-life male model Mark Vanderloo. The original title for the film was actually Zanderloo, before flipping it around. Vanderloo is incidentally the facial model for the default male Commander Shepard from Mass Effect.
Imperium: white supremacist author Dallas Wolf changed his name from Randy something to sound more cool.
The title character of the movie Johnny Tsunami is a surfer and Badass Grandpa (variation in that he's not the protagonist of the film's main story, his grandson is, who is also Johnny, who uses their surname, Kapahala).
The eponymous character of the film Johnny Handsome (although, before the facially deformed John Sedley receives extensive reconstructive surgery that makes him look like a young Mickey Rourke, it's a mocking Ironic Nickname).