In The Adventures of Dr. McNinja, the eponymous Dr. McNinja. A doctor of medicine who comes from a family of Irish ninjas. Nothing else need be said.
This also applies to most known residents of the Radical Lands. This includes Ron Wizard, Sir Cowabunga of Clubs; Dame Dudeical of Diamonds; the former king Sir Hellacious of Hearts; and King Radical, formerly Sir Sicknasty of Spades.
Dragon Tails has the character named Enigma. It certainly doesn't help that he's a total Badass.
Boy Meets Boy and the sequel webcomic, Friendly Hostility. Harlequin, Tybalt, Anubis, Cyanide, and many more. (There's Skids, but that's a nickname.) Also notable is Collin, who inexplicably has a Hindi last name despite his family being hardcore Caucasian conservative Christians. Word of God has it that at one point, Collin's parents traveled to India on missionary work, so they probably took a local name. This is probably because the Boy Meets Boy characters were based loosely on characters from an old and now-deleted webcomic by the same author, which was about vampires (or rather gay vampire angels), who are kind of expected to have names like that. Frankly, you can't blame Mikhail's tattoo artist for making a mistake.
Between Rak Wraithraiser, Phonsekal Laure and Jaian Repellista Zahard, Tower of God has some pretty awesomely named characters.
The Broken Mirror has Ariad Engel Moira. The last one claims her real name is Ariad Smith, and that she changed it because it was too boring — but she's still named Ariad.
Suicide for Hire: the main characters are named Arcturus Winrock and Hunter Ravenwood. Hunter's occasionally-appearing love interest is named Chryseis, and Arcturus' co-workers in the food stand storyline were named Zharra, Morph, Magdalena, Tajaira, and Shileen. The briefly-appearing "Harv" and "Sarah" in a previous storyline seemed quite out-of-place.
Ronin Galaxy: the main character's name is Cecil Onimaru, which (given the multiple meanings of Japanese names) can mean, "Oni's son." or "Oni-like son." For being a ronin, such a name seems extravagant. Also Leona Gallant - she couldn't possibly be a gallant knight, could she?
The main cast of Sluggy Freelance? They go by the names Torg, Riff, Zoe, Gwynn, Bun-Bun, and Kiki. Hanging around with these people, you can kinda understand why Sam felt he had to change his name to "Sam da Man."
Most of Hereti-corp has awesome names like Daedalus Hereti, Dr. Killum, Dan-Met, Kusari and Oasis. Irving Schlock? Not so much.
Goblins: Life Through Their Eyes. While goblins have names such as "Big Ears" and "Complains Of Names", one of them, "Fumbles", wants to become an adventurer (a PC, indeed) and changes his name to Senor Vorpal Kickasso.
The goblins are named by their village elder, who chooses their names based on a vision of their fate that she sees when they are born. For instance, the goblin who grows up to become the chief of the clan is named "Chief". However, one unfortunate goblin was given the name "Dies Horribly".
The dark matter entities, the Paan'uri, have a name which translates to either "that which lives where nothing should" or "that gravitic distortion is giving me the willies."
Well Tagon's ship the Serial Peacemaker... it's like it doesn't HAVE to get a name implying violence so directly, so it's placing itself above the poseur ship names the O'benn and others tend to take. But it sounds somewhat like 'serial killer' so it wouldn't be mistaken for something inoffensive!
Jane Mighty's mom was born Hannah Anne Combat; she had a sister, Ariel Combat. Their father was Mortimer Lawrence (or "Mort L.") Combat.
Girl Genius is loaded with awesome names, starting with Agatha's primary love interest: Gilgamesh Wulfenbach.
Or Agatha's aunt, Demonica Mongfish. And Agatha's mother, Lucrezia Mongfish. See how the first name turns even mundane last into something Lovecraftian?
In the same comic we have Heterodyne ancestors with names like "Faustus" and "Occam," the house of Sturmvoraus, and even chief minion Moloch (he claims his parents owned a The Bible but didn't have time to actually read it).
Lackadaisy is full of these names like Rocky Rickaby, Calvin "Freckle" McMurray, Mitzy May, Dorian "Zib" Zibowski, Ivy Pepper, Nicodeme Savoy, Serafine Savoy, Moredecai Heller, and many more.
Narbonic: one of Helen Narbon's recurring enemies is Dr. Lupin Madblood. No, that's his real name, and he even has a PhD. On the other hand, he still lived with his mother during a lot of the story.
Penny Arcade: "'I am Grimm Shado,' said Grimm Shado. 'And I'm here to take it to the limit.'
And, to a lesser extent, Dr. Raven Darktalon Blood.
How about Jim Darkmagic?
EVERYONE from The Song Of The Sorcelator apparently has a name like this, though we only get to know Grimm Shado's.
Parodied in Hark! A Vagrant. The Brontė sisters, concerned they won't be taken seriously as women authors, choose the pseudonyms "Johnny Guns," "Bruce Punisher" and "Daddy Smash."
Cutter Edgewise in Starslip. Memnon Vanderbeam may also count.
8-Bit Theater has names like Fighter McWarrior, Black Mage Evilwizardington, Prince Elf of Clan Khee'bler (a.k.a. Thief), Red Mage Statscowski, Prince Drizz'l of the Dark Elves, Vilbert von Vampire, Muffin the dragon, Chancellor Usurper of Clan Sahn'ta (real name King Astos of the Dark Elves), Dr. Swordopolis, Doctor Malpractice, Generic Half-Elven Dual-Class Ranger, Berserker Axinhed... It's a freaking gold mine of this trope! Fighter, Black Mage, Thief, Red Mage, White Mage, Black Belt, etc. are actually their REAL NAMES and not just their classes...
The jury is still out on whether "John Egbert" sounds cool or not though.
Dave's biological fatherDirk Strider.
The Trolls mostly have cool names, such as Karkat Vantas, Vriska Serket, and Sollux Captornote Who, conveniently, has several similarities to the afore mentioned Mr. Strider. For bonus points, they're all meaningful.
Sburb titles can turn out this way. Although occasionally you get a Fail O Sucky Name, other times you get people referred to as the Knight of Time, the Witch of Space, the Prince of Hope, the Knight of Blood, the Mage of Doom, etc., etc.
Dirk initially thinks his title, the Prince of Heart, sounds lame, but then Calliope tells him that in the context of the game it means "Destroyer of Souls".
And now, with the Master Classes we have the Muse of Space and the Lord of Time.
Dead Winter has an assassin that goes by the name Black Monday Blues. He has a colleague named Sixgun Johnny Rhythm.
Averted in Hiimdaisy's Let's Destroy the Shagohod, based on Metal Gear Solid 3: Snake Eater, Ocelot thinks Snake's real name is this (imagining that it's "Manly McBeefington"), when it's really simply "John". This visibly startles Ocelot.
Gunnerkrigg Court has Antimony Carver, Surma Carver (nee Stibnite), Zeta, Gamma, and Winsbury...
In Regular Guy, Reg decides he needs to get to know a girl better because of her name: Katie DeLorean.
In Voodoo Walrus most character names seem to be more like alias or online handles, so this is rather prominent in names like Rip Flintlock, Shmeerm, Miriam Cyradwee, and Villemous Quetzacoatl Creep Knight
Zokusho Comics: Serge (pronounced like surge) Inverse. Nitrous Blight. Rotting Johnny. Drake Lephisto. Fizzbang the Goblin. That Guy. More than likely there's more to come.
Justified in Slightly Damned with the Jakkai. A generation is born on the same day, and they are given only first names until a suitable last name is devised that matches their appearance or personality. These include Snaketail, Thunderheart and, the current champion, Bloodeyes.
Isaac Baranoff used one of these in a Take That towards a cartoonist who ripped off Baranoff's comic strip, Horndog: "Awesome MC Big Dick". (Intentionally drawn as a bad stick figure comic to mock the rival cartoonist, this was invoked because Baranoff felt that the artist who plagiarized his work was using Mary Sue characters in the real-life Expy.)
Squid Ops gives us Sela Cloudburst, Lena and Mui Mistbreeze and Ms. Leafyshine. Note that these are the only characters so far whose surnames have been revealed, so it's possible everyone in the comic has a name like this.
The Order of the Stick has none other than "Bloodfeast the Extreme-inator", Belkar's dinosaur mount (sadly transformed into a small lizard at the time of this writing).
Webcomic/Paranatural there is an absolutely insane english teacher named Mr. Starchman. he considers "Max" to be this. most characters have reasonable names, though. except maybe for Rainbow Jacket. (this entry needs a link fix.)
The main character of Lady Sabre and the Pirates of the Ineffable Aether is named Seneca Sabre. Other characters include Hans von Kater and Miles Drake.