In Scion, another RPG by our friends at White Wolf, you play as the child of a God — Hera, Loki, etc. For whatever reason, example characters have this odd tendency towards weird, unlikely names referencing their divine parent, even from a slant — such as Horace Farrow, son of... Horus.
Exalted gives us such varied names as Harmonious Jade, Seven Devils Clever, Excessively Righteous Blossom, Chejop Kejak, Tammiz Ushun, Ma-Ha-Suchi, Lilith, The Lover Clad In The Raiment Of Tears, The Bodhisattva Anointed By Dark Water, the Bull of the North... It's justified, though, in that the main characters and most of their opponents are legendary figures who are practically expected to have a mythic reputation.
Shards of the Exalted Dream, in the Heaven's Reach setting, mentions the Lunar emperor Heaven's Son, the reshaper of the cosmos named Immaculate Golden Engineer, and the Stal war hero Ungenerous-Hand-of-Reprisal 1-9-7-3.
D&D3 and later gives a list of sample names with each race, and sometimes...
Players who create Warforged characters are encouraged to use names like Relic, Sigil, Wall, Shield, and Bastion. They did not have a name when first created. Now freed, Warforged tend to look for words that they feel "represent" them to use as name. The King of Breland's former bodyguard was called Bulwark for example.
Dragonborn of Bahamut (The 3.5e version, who are members of other races that undergo a voluntary transformation) are encouraged to take a new Draconic name. Draconic is one of the few D&D Races with an actually lexicon, so you can actually name yourself "Platinum Strongscale who killed the big mean red dragon" without sounding like a tool.
4th edition, characters from the Wangsty half-demonic Tiefling race are instructed by the rulebook to take names like "Suffering" or "Melancholy" and so forth. To be fair, they also get "Art", "Hope" and... "Gladness"?!?
There's also The Simbul. Her real name is Alassra Shentrantra Silverhand (which is, itself, pretty cool) but she took her current title from the name of a deity worshipped by primitive humans. Whatever the case, the sound of it is not only cool, it strikes fear into the hearts of the evil Red Wizards of Thay. (Simply put, you do not want to mess with her.)
Jim Darkmagic of the New Hampshire Darkmagics, created by Gabe for his first ever D&D session (he astounded the seasoned players by rolling 20s).
"Why don't you just name yourself Chet AwesomeLaser?"
Scott Kurtz, the guy playing a Dwarf character, was encouraged by Tycho to alliterate with his name, claiming that Dwarves lose abilities if they don't alliterate.
The whole crew have awesome names, Jerry is Ominifis Earwahr Dran, Mike is the aforementioned James Darkmagic III, Scott Kutz is Binwin Bronzebottom, and Wil Wheaton is Aeofel Elhromane. Also, at one point due to the general confusion of the table Tycho thinks Scott has renamed himself "Vanguard Crackhammer."
One of the original 800 Clan warriors in BattleTech is Kami Sword, and perhaps the most famous mercenary in the series is Grayson Death Carlyle, who proceeded to name his unit "The Gray Death Legion." Hundreds of battle mechs have awesome names. Such as the Battlemaster, Marauder, Timber Wolf, Summoner, Awesome... Several Clan names count, such as Jade Falcon, Goliath Scorpion, Ghost Bear...
And then there are 'Mechs with less intrinsically awesome names, like Dasher (so-called by the Inner Sphere for its ridiculous speed, the Clans call it Fire Moth, which isn't much better), Spider (which one of the coolest-looking scout 'Mechs among most fans), and Cicada.
Running into incredibly long name territory, we have Prince Victor Ian Steiner-Davion.
Obviously, like a half of all names in anyWarhammer game counts. Highlights include:
40k is full of these. Valhalla, Macragge, Witchblades, Lightning Claws, Thunder Hammers, the Eye of Terror...
The names of Space Marine chapters: Ultramarines, Imperial Fists, Dark Angels...Even the Chaos Space Marines: Black Legion, Iron Warriors, Red Corsairs..
Then there's the Imperial Guard: Mordian Iron Guard, Morbidian Skull Takers, Cadian Shock Troops, Armageddon Steel Legion, Mordant Acid Dogs, Krieg Death Korps. And then there's named characters: Lord Castellian Ursakar E. Creed, Colonel "Iron Hand" Straken, Sly Marbo, Sergeant "Stone-tooth" Harker, Commissar Sebastian Yarrick, Lord Commander Solar Macharius...
The NERO (actually a live action RPG) rulebook offers an example of a bad character history featuring "Nightblade Deathbringer Doomforge."
Iron Kingdoms: numerous characters have awesome names, such as Lord Commander Stryker, Kommander Sorscha, Major Marcus "Siege" Brisbane, Vladimir the dark champion...and more.
Miniature wargame rules publishers Too Fat Lardies pepper their rules with a subversion of this trope. Not only do they happily give names scatological acronym titles (Troops, Weapons and Tactics, Stout Hearts, Iron Troops etc) they tend to give the men in the examples joke names - the most reused being Hugh Jarce.