For a double example of this, you've got the villain called KAOS (yes, all caps) in Donkey Kong Country 3 (and Donkey Kong Land 3). K name, and Chaos. And the level it's first found in is called 'KAOS Karnage', which has got to be a name to run from even faster.
A favored name component of villains and Evil Overlords, although such a name is usually not given to a character at birth, but acquired later once they've reached a certain level of "badassitude". Naturally, the actual Grim Reaper doesn't count.
Anime and Manga
DC villain Deathstroke: The Most Bad Ass Name of All Time? As if that weren't enough, his full name is "Deathstroke The Terminator". His real name, Slade Wilson, isn't bad either, due to its similarity with the hard mineral slate.
Judge Dredd: Sidney De'ath became known as Judge Death before he became an undead monstrosity.
Deathwalker from the Babylon 5 episode of the same name. Not actually her name; this was an epithet given to Warmaster Jha'dur of the Dilgar people. It's very much appropriate.
Parodied in That Mitchell and Webb Look with Professor Death, a man who attracts military attention due to his invention of the Giant Death Ray - which turns out to be the world's first laser bar code reader.
And these are just the more notable organizations or groups with 'death' in their names. There are tons of less known ones like Death Mongers, Death Knights, Death Spectres and so on. Warhammer 40K also has weapons (like Deathstrike Missile, Deathspinner or Deathwind Missile Launcher), vehicles (Death Wheel or Deathstrike Missile Launcher for aforementioned Deathstrike Missile), occupations (Death Jester or Death Cult Assassin), ships (Agonising Death) and locales (Hive Death Mire (conveniently located on planet Armageddon near the River Insane) who fit this trope. And the multitude of Deathworlds in the Imperium.
An episode of the cartoon Mad Jack The Pirate featured a well-suited man called "Mr. D'eath". Jack remarks that his name sounds French until seeing the man upon which he realises the man is, in fact, Death.
Metalocalypse: Dethklok is all about this. Nathan Explosion, William Murderface, and Toki Wartooth all fit (and those are their birth names). Everyone that attends a Dethklok concert is required to sign a pain waiver.
Exception — De'Ath (not pronounced like you'd expect) was apparently a real English aristocratic name. Inspired Terry Pratchett for Edward d'Eath.
The Totenkopf—German for dead man's head, or Death's head—is used as an insignia for many military units worldwide. Historically, it is probably most commonly associated with the German military. It's most notorious use, of corse, was the unit which takes its name from the symbol, the SS-Totenkopfverbände: The "Death's-Head Units" of the Schutzstaffel which was responsible for administrating Nazi death camps.
The Death Cap, Amanita phalloides, which contains the same deadly poison as the Destroying Angel, and is said to have caused more deaths than any other mushroom species.
Rapper MF DOOM, whose persona is that of, well, a twisted genius bent on revenge against the industry that destroyed him. Possibly inspired by his real name Daniel Dumile, which is pronounced "Doom-i-lay".
Kamen Rider Ryuki: Kamen Rider Ouja's fusion Advent Beast, Genocider. It's name comes from Genocide, as in wiping out a race or species. And it's every bit as dangerous as its name implies it to be, it has a BLACK HOLE IN ITS CHEST!
League of Legends has, for a while now, Malcolm Graves. He's a shotgun-toting conman who was betrayed by a fellow conman who he'd made an arrangement with. One of his skills in the game is to fire a cone of three large bullets... but his gun only has two, straight, barrels... This troper has heard the crazy awesome, if impossible, explanation that he spits the third bullet from his mouth without anyone noticing Doesn't explain why the skill is cone-shaped, but eh. Not the gunman you want to meet in a dark alleyway, that's for sure.
In fact, the naming of someone as Hunter is apparently so iconic that some "tests" to determine the Mary Sue-ness of characters specifically have a point (or more!) for someone named Hunter. Jäger (German "hunter") likely counts.
Anime and Manga
Subverted in the Star Trek: The Original Series episode "The Squire of Gothos", with the meteorologist Karl Jaegar. Upon hearing his name, Trelane (a fanboy of Human military history) promptly squees: "Ein Deutsch Soldat, nein?"
Hunter Hearst Helmsley, a.k.a. Triple H, from WWE. Ironically, the name is a leftover from a previous gimmick as a snobby aristocrat, and was not originally given to the sledgehammer-wielding, water-spitting, all-ass-kicking-all-the-time badass we know today.
'Jaeger' is also a certain ominous bird - a kleptoparasite that beats up other birds and steals their food.
When a woman has this name, the chances of four things increase incrementally. One, she's Asian. Two, she's gorgeous. Three, she is an excellent fighter. Four, any combination of those three. When a man has that name, on the other hand, we really don't know what to think.
DC Comics has two Jades, but only one qualifies: Jade Nguyen.
Jackie Chan Adventures. She was too young to be "gorgeous" and that also meant her usefulness in a fight was debatable, though she was shown to be able to take down anyone her own size, and occasionally larger foes.
Her adult form from the future, however, is quite gorgeous.
Jezebel Jade from the original Jonny Quest. Beautiful, tough and smart, wouldn't charge her friends for favors...too much.
The Nightmare, from Metroid. An extremely creepy-looking cyborg monster that can manipulate gravity and shoot lasers all over the place, and if you blow its faceplate off (which looks bad enough on its own), its actual face is just... eurgh. The Psycho Strings that play in its theme song in Other M do not help matters.
Brian O'Blivion and his daughter Bianca O'Blivion in Videodrome. While their alligment is very hard to make out due to the unreality of the movie and Brian is a resonant phantom living in the television world, they are engaging in a counter war against the brain-destroying, people-corrupting Videodrome syndicate by reprogramming the "video word made flesh" (an outside innocent, sleazy TV executive Max Renn) for their own sinister purposes.
Doom: Pain Elemental — like the manual says: "What a name. And what a guy."
Inverted with Winston Payne from the Ace Attorney series, whose name is a play on "winced in pain". But he is actually the least intimidating adversary of the series: He's the one who's usually wincing.
Odd real-life example: One of John Wilkes Booth's henchmen, Lewis Powell — a slow-witted, borderline Ax-Crazy brute who had been assigned with killing the Secretary of State — traveled under the alias "Lewis Paine".
The name of the best halberd, possibly the best weapon in the game of Baldur's Gate II: Throne of Bhaal, as well as a fairly nasty demon you fight at one point.
The name of planet-life-force-eating Dark Lord Darth Nihilus' flagship in Knights of the Old Republic. There also a mentor-turned-evil with the first name Saul, as in the Old-Testament King; see "Conquerors", above. (Incidentally, Saul met his doom at a place called Endor.)
Adam Savage from MythBusters, on the other hand, is someone to run with. Chances are, he's either running away from something about to blow up, or towards something he just blew up (in which case you get to see cool wreckage).
In Tales of the Abyss, Tear is also the name of one of the party members. It's actually short for Mystearica in this case, and she is set up as a rather morally ambiguous figure right at the start. This is subverted once you finally find out why she wanted to kill her brother in the first place.
Eureka Seven: As if Anemone's mecha didn't already cue you in with it's black paint job, lots and lots of eyes, and frantic, slasher movie-esque theme song that it's something you should stay far, far away from, there's the fact that it's named the END.
Anemone herself could also count, as anemones are linked to bloodshed in Greek and Christian mythology.
In the Pony POV Series, this seems to be the natural naming scheme for the Draconequi. The ones named thus far were Discord, Strife, Pandemonium, Destruction (also goes by Disaster), AnarchyEntropy, and Havoc. However, Discord and Destruction are the only ones who are actively destructive, and of the two, Discord is the only one who is truly evil.
Spock Prime is visibly disturbed upon hearing that the Enterprise is fighting Khan.
General Woundwort from Watership Down; it's a plant (virtually all rabbits in the book are named after plants), but it contains "wound". Also, "General" as a title.
Invoked in Artemis Fowl by LEP Officer Trouble Kelp, who chose his first name during his coming-of-age ceremony.
The Enemy in the Doctor Who quasi-spinoff Faction Paradox, so-called because giving it a real name would only make you underestimate the sheer scope of its power. Also arguably something there's no point running from unless you have a handy universe stored away.
Oh, and the Homeworld. Compassion too, come to think of it, and Antipathy, and... just about all the timeships, really. Then there's the Grandfather. Faction Paradox likes to do this a lot, is what we're saying.
Poliwrath the Water-Fighting type from Pokémon. Not necessarily all that scary unless you challenge them to a contest of physical strength.
The Slaughterhouse Nine from Worm, a group of nine serial killer capes who cause death and destruction across North America for seemingly no other reason than shits and giggles. In reality it's to jumpstart the apocalypse.
The town of Todmorden in Yorkshire, which in German means something like "Deathmurderville". By coincidence Harold Shipman, one of the most prolific serial killers in history, worked in the town for several years, and in ufology circles it's known for the body of a Polish man, Zigmund Adamski, turning up there after possibly being tortured to death by aliens.
In which case, there's the real-life Mick Jagger — a bad-ass rocker if ever there was one. (The Rolling Stones, in their early days, made a point of not being nice guys like The Beatles.)
Nick Cave, as well as a few of his bandmates: Conway Savage, Roland Wolf, Hugo Race, Tracy Pew. Their music is quite often very scary.
Any of several warships bearing the name HMS Terror, but especially this one.
There was an Austrialian association footballer (soccer player) in the early 20th century whose surname was Conquest, but that's not the end of it. His first name? Norman. Norman Conquest...he was named after a bloody period of history.