No More Heroes and its sequel give us Travis Touchdown, Henry Cooldown, Dr. Letz Shake, Harvey Moisewich Volodarski, Thunder Ryu, Bishop Shidux, Count Townshend, Margaret Moonlight, and Alice Twilight. And this isn't even counting code names such as Shinobu, Million Gunman, Destroyman, Dark Star, Dr. Peace, Speed Buster...the list goes on. It also brings us Santa Destroy, the city where the events of the game take place. It also includes locations with names like Burger Suplex and Body Slam Beach.
Garcia Fucking Hotspur, from Shadows of the Damned. It's left ambiguous as to whether "Fucking" is his actual middle name.
Video Game/Darksiders gives us the four horsemen, whose names have apparently always been War, Strife, Fury, and Death.
Amaterasu's title of Ōkami depending on how you spell it in Japanese can either mean "Great God" or "Wolf". This pun is actually carried into gameplay when people who believe in you can see your celestial markings, and people who don't believe in you just see a white wolf.
There's also Talon, the guy who runs Lon Lon Ranch, and a long list of characters ranging from critical-to-the-plot major to barely-rate-a-name minor who have Awesome McCoolnames that aren't real-world words, like Nabooru and Impaz.
Marshall Law (a play on "Martial Law"). Admittedly, this isn't an obvious one. His buddy is Paul Phoenix, which sounds like something out of a 70s airport novel. Ditto for Bryan Fury.
Craig Marduk also qualifies — it's not a wise idea to pick a fight with a guy named after a god, of all things. If at all possible, Craig Marduk looks even more intimidating than his name sounds.◊ His appearance is based on Nathan Jones who, during his time in prison, earned the nickname "The Colossus of Boggo Road." During a prison riot, he managed to rip his cell door off of the hinges.
Pretty much every character in Ace Attorney has an incredibly badass name! Phoenix Wright himself may have had debatably the most awesome name of all in the Ace Attorney series, and that's saying something with people named Maya Fey and Miles Edgeworth and Franziska von Karma in the same zip code, until Apollo Justice came along, and with him people with names such as Shadi Enigmar, and Kristoph and Klavier Gavin.
Also the famed rivals Juan Corrida (Corrida is a bullfighting term) and Matt Engarde (Engarde is a fencing term).
Max Galactica (although his real name is Billy-Bob Johns), Magnifi and his daughter, Thalassa Gramarye and Tyrell Badd.
WIIILL POOOWERS, HE'S THE MAN WHOSE NAME YOU'D LOVE TO TOOOOOOOOOOOOUCH
This game is full of Meaningful Name, most of them are puns while others are great but all of them work perfectly.
This game makes you wonder if the parents could see the future when naming their children. I mean, a tanned and angry guy with a tiger themed suit named Furio Tigre? An assassin named Joe Darke? A detective named Tyrell Badd? Redd White and April May are okay but Bruto Cadaverini is way too perfect for his job.
The flagship character of the Purple Moon games is named "Rockett Movado". This has an in-game explanation in that her parents were hippies (her siblings are named Jasper and Juno Artemis). The only other "odd" name belongs to Token Minority Arrow (and that's a nickname).
Max Payne. Lampshaded by a mook, who admits to envying Max's name.
The fictional Dick Justice.
William J. Blazkowicz (the protagonist of Wolfenstein 3D) and his grandson Billy Blaze (better known as Commander Keen). Granted, William's name takes a turn for the Suckyname territory when it's shortened into BJ Blazkowicz. Just don't tell him that to his face.
Suikoden IV actually GAVE us Schtoltenheim Reinbach III as a recruitable character! Imagine the surprise on peoples faces when they saw that the guy actually EXISTED.
Classic adventure game Wasteland lets you name your starting party whatever you want, but the default names are Hell Razor, Angela Deth, Thrasher, and Snake Vargas.
In Strong Bad's Cool Game for Attractive People, episode 4, there is a character, who is Homestar Runner as "Dangeresque, Too?", as a robot copy of the character, by the name of Uzi Bazooka. Even Strong Bad/Dangeresque thinks it's a cool name. (But then again, he did write the script..)
Final Fantasy VII seems to be a weird subversion of this trope... Until you see their surnames. "Tifa Lockheart", "Vincent Valentine", "Aerith Gainsborough", "Red XIII"/ Nanaki... Cloud Strife also manages to overcome his otherwise improbable name by being incredibly Bad Ass. Oh, and they're fighting Sephiroth. The only really normal one is "Barret Wallace". Barret in Japanese is Baretto, which is how you pronounce "bullet" in Japanese so he definitely qualifies for Awesome McCoolname. Sephiroth or Sephirot are the 10 attributes/emanations through which God can manifest in Jewish Kabbalah. However, there's also brothers Nero and Weiss in Dirge of Cerberus: Final Fantasy VII (Black and White respectively).
"Cid Highwind" is an awesome name that just automatically commands respect when you hear it.
Final Fantasy XIII has the main character named Lightning. That's...that's just great. "Lightning" is just her code name. Her real name is Eclair Farron, or just Claire in the English localization. Guess what that means in French? No, not the pastry. It means "lightning". The reason behind her going by "Lightning" is a plot point.
That game also has Snow Villiers and Sazh Katzroy, which is just fun to say.
Final Fantasy VIII qualifies too: Squall Leonhart? Rinoa Heartilly? Seifer Almasy, Laguna Loire, Kiros Seagill, Ward Zabac, Edea, Ultimecia?
Final Fantasy XII gives us some gems in the form of Vayne Solidor, Basch fon Ronsenburg, and King Raithwall. The Imperial Judges get some sweet names too, like Gabranth and Zargabaath, but those are assumed names.
Ruby and Blank from Tantalus. Oh, and Lord Puck of Burmecia. Amarant in Japanese is Salamander Coral, too, which means his nickname in that version is "The Flaming Salamander".
Final Fantasy X has names like Tidus, Yuna, Auron, Wakka, Kimahri, and Rikku with Lulu being the only normal sounding name of the main cast of characters.
Final Fantasy V has Butz Klauser, changed to Bartz in the English release for obvious reasons.
Final Fantasy VI. Even if most characters don't have really astounding names, we still have Clyde Arrowny A.K.A. Shadow and his daughter Relm, Cyan Garamonde or Kefka Palazzo.
What about a gambler named Setzer Gabbiani ("Gabbiani" means trick/cheat)? A blue mage called Strago/Stragus Magus which literally means "Twisted Mage"? Locke Cole is a double pun for lock and Loki (the norse deity) and it fits perfectly for a thief. Terra Branford is the perfect example since her japonese name is Tina and they changed it for the western release because it sounded too simple and common.
So many characters in World of Warcraft (and presumably other MMORPGs) have those, it's not even awesome anymore. The whole game is loaded with Doomhowls and Deatheyes and Nightwhispers etc.
Note that most, if not all of those are clan-names or at least family names. It makes sense for an orc or ogre clan to pick an intimidating name.
For what it's worth, more family-friendly games may enforce this: both FusionFall and Free Realms use a name generator as the default; in Free Realms at least you can make up your own name but it has to be approved.
Guilty Gear: Sol Badguy (you'd have to be pretty badass to get away with calling yourself that), Slayer, Millia Rage, Axl Low, Potemkin, Kliff Undersn, and Justice.
Upcoming Team Ico game The Last Guardian is known in Japan as "Hitokui Ōwashi Trico," which can be translated as "Trico, the Man-Eating Sea-Eagle."
November Anabella Terra or "Nova". Bonus points (to her parents) for giving her an elegant name that shortens to something a Ghost would actually go by.
In Mass Effect, whatever goofy first name that may be given to him (or her, for that matter), there is something just so intrinsically panty wetting about the moniker Commander Shepard.
During Kasumi's heist in the second game, Shepard is given the awesome alias of "Solomon/Allison Gunn" along with a fake backstory of being a badass mercenary... and a full-page spread in the latest issue of "Badass Weekly".
Urdnot Wrex, Garrus Vakarian, Kaidan Alenko, Donnel Udina, SarenArterius, Urdnot Grunt, Thane Krios, Zaeed Massani, James Vega, Tela Vasir, and Kai Leng.
In Kingdom Hearts we have Organization XIII, made up of thirteen Nobodies, and each and every one has an awesome name: We have Xemnas, Xibgar, Xaldin, Vexen, Lexaeus, Zexion, Saďx, Axel, Demyx, Luxord, Marluxia, Larxene, Roxas, and finally, for 358/2 Days, Xion. Most of the names are justified because when a person with a strong will is turned into a humanoid Nobody, Xemnas recruits them and gives them a new name by scrambling the letters and adding an 'x' into it. Even then, quite a few had less-than-average names, with Vexen's (Even) being the most common.
In the Sonic the Hedgehog series, we have the title character Sonic the Hedgehog, Miles "Tails" Prower, Knuckles the Echidna, Shadow the Hedgehog, Silver the Hedgehog, Amy Rose, Rouge the Bat, Dr. Ivo "Eggman" Robotnik, and many more.
Keep in mind that Mega Man is also known as Rockman. Also keep in mind that his little sister is known as Roll. Rock and Roll anyone?
Then in the Mega Man X series, his newer model was just known as X with Zero as the Proto Man counterpart.
Pretty much all of the robot masters and mavericks fall under this description, with a few exceptions.
Wild ARMs took this trope home and married it: Jack Van Burace, Ashley Winchester, Gallows Carradine, the list goes on.
Warhammer 40k: Dawn of War and its sequel are full of these names, especially with the human characters. Gabriel Angelos, Isador Akios, Mordecai Toth...
Princess Sveta Czamaral, of the Fang Tribe of Morgal, from Golden Sun: Dark Dawn. Bonus points for being one of the only two Golden Sun characters with a canonly-known surname... the other being her brother.
The series has loads of characters with cool names, like Valvatorez and Axel, which may be expected since most Disgaea characters are demons. Still, when you're a human with a name like Almaz von Almandine Adamant that's pretty awesome.
Altair ibn La'Ahad from Assassin's Creed I. His name basically translates to "the bastard eagle."
Ezio Auditore da Firenze.
Anghel Higure ("higure" spelled in Japanese with two Kanjii meaning 'red') in Hatoful Boyfriend is a parody. He has the real name Akagi Yoshio, but insists on being called Anghel due to believing he is a ridiculous fantasy character with the title "Crimson Angel of Judecca".
The Nords and the Dragons in Skyrim pretty much run on this trope. For example, the leader of the rebellion? Ulfric Stormcloak. The name of the main antagonist is Alduin, which translates to Destroyer Devour Master and just so happens to have the moniker World-Eater.
A bit subverted with Tabitha and Lily the Super Mutants.
From Fallout 1 we have The Master.
Hailing from League of Legends, we have Demacia's impossibly prestigious crown prince Jarvan Lightshield IV, Exemplar Of Demacia, as well as his allies, brother and sister Garen and Luxanna Crownguard. Noxus boasts Jericho Swain and Kieran Darkwill, and one could certainly argue that Malcolm Graves is worthy of this trope.
Fittingly, the first is the protagonist. Although his real name is simply John, only some close friends and comrades know him as such; to everyone else, he's either Master Chief, Chief, or Spartan. Even better, he scares the Scary Dogmatic Aliens so bad they have their own name for him: Demon.
The Arbiter is a pretty cool title, but there's something about "Thel Vadam" that not only sounds awesome, but fits the character perfectly.
Forerunners give their children Names That Unfold Like Lotus Blossoms, some of which are pretty sweet: Bornstellar Makes Eternal Lasting, Splendid Dust of Ancient Suns, and, perhaps coolest of all, Glory of a Far Dawn. Some are simply known by their titles, and don't tell me being known as "The Didact" wouldn't be awesome.
Any Covenant fleet. The one that destroyed Reach was called The Fleet of Particular Justice, while others had as fancy names as The Fleet of Righteous Vigilance or The Fleet of Furious Redemption.
In Guild Wars 2, humanoid bear-people called the Kodan are given some rather flowery but badass names. Enduring Protector, Guardian Infinite Mind, Fleeting Serenity, Worthy Burden and lastly, Taught by Whales. How awesome do you have to be in order to be taught by whales?
Gungrave is full of characters with names like Brandon Heat, Balladbird Lee and Bear Walken. Even the morbidly obese Gonk character is named Bob Poundmax.
The Ninja Gaiden spinoff Yaiba: Ninja Gaiden Z has Yaiba Kamikaze.
Eternal Champions: Shadow Yamoto, Larcen Tyler, Xavier Pendragon, Jetta Maxx.... This is probably a requirement to enter the tournament.
Streets of Rage has Axel Stone, Adam Hunter, Blaze Fielding, Sammy "Skate" Hunter, Max Thunder/Hatchett and Dr. Zan.
Danganronpa has Celestia Ludenberg, whose real name was Taeko Yasuhiro and she picked that name because she thinks her old name was very plain and brings her suffering that she'd rather forget.The sequel ups the ante by having a character whose real name is... Gundam Tanaka.