Subversion: In the anime Scrapped Princess, the Casull family is on the run from the church of Mauser and any last name for any character is a weapon manufacturer. There's enough characters to go from obvious ones like Winya Chester, Barrett and Steyr to more obscure ones such as Galil, Giat, Socom, Scorpse and Peters-Stahl.
Mauser's nemesis, Browning. Also, Mauser's servants are called the Peacekeepers, and Browning's are the Dragoons.
Umineko no Naku Koro ni's Chiester Sisters are each named after the make number of a given gun. Thus far there are Chiester 45, 410, 00, and 556. 00 refers to the 00 shotgun shell; 410, the .410 shotgun round; 45, the .45 Colt round; 556, the 5.56x45mm NATO assault rifle round.
In the fifth book of the visual novels, two additional Chiester Sisters are mentioned: Chiester 20 and Chiester 127. 20 refers to 20mm rounds fired by a M61 Vulcan Gatling Gun, while 127 refers to 127mm shells fired by a 5-inch deck gun.
Monster Hunter International: Owen Zastave Pitt (the Owen submachine gun that his father used in Vietnam, along with Zastava, the main small arms manufacturer in Serbia). Subverted in that Word of God confirms that he's named after the place in Serbia that is also the namesake of the manufacturer, it's just a nice coincident for an author and a character who many people would put under the Gun Nut trope.
Ingram Plisken from Super Robot Wars. Bonus points for sharing the surname of a dude called Snake.
There are a lot of Banpresto Original characters named like that. There's Kyosuke Nanbu, Excellen and Lemon Browning, Lefina Enfield, Sean Webley, Ingram Prisken, Calico and Spectra among others...
Death Jr has Smith and Weston, but in an odd subversion they're just Siamese twins with little to perceivably do with guns. We expected better from a series containing the word, "death."
Subverted in Loserz — Ben Winchester, Jodie Beretta, and Eric Remington are all fairly ordinary high school students (although Jodie is a massive slut and is revealed in the sequel strip, Quarter Life Crisis, to have grown up to be a stripper, she's not someone you would exactly run from).
Tekkaman Blade. Most of the other Tekkamen have weapon names too (Dagger, Axe, Sword...), and if that isn't enough indication you should run, there's Tekkaman Evil. Then Tekkaman Blade II has Tekkaman Dead.
The Elder Scrolls V: Skyrim: The Blades are a group of ancient dragonslayers, led by the Dragonborn, who can steal the souls of dragons and kill them permanently. When they ran out of dragons to kill, the Blades became the personal bodyguards of the Dragonborn Emperors. The Aldmeri Dominion made a smart (if slightly dickish) move in wiping them out before beginning the war with the Empire.
Subverted by Hammer in Castlevania: Aria of Sorrow, a scary-looking American army man who, upon finding himself in Dracula's castle, starts collecting weapons... to open a shop. Mina is spooked; Soma is just perplexed.
The Mjolnir (after Thor's hammer) cyborgs in the Marathon verse, and the Mjolnir armor of the Spartans in Halo. Also, Foehammer, the dropship pilot from the first installment of the latter series.
Tough-looking character actor (and real-life ex-con) Danny Trejo often plays characters named after edged weapons. He's been Navajas ("knives" in Spanish), Razor Eddie, Razor Charlie, and Machete no less than four times.
Not sure if it fits here, but Tezzeret is actually a term for any improvised weapon (at least, in his native tongue. He got his name after he used a crude knife to take down an older boy who had been bullying him. He takes the name to heart, as he sees his intellect as a great weapon that many take for granted.
So badass it actually got two weapons, a spiky club and a tear gas, named after it. It thus can be an incredibly tough-sounding name for both men and women, and so can certain sound-alikes such as "mason"—after all, it's somebody who cuts rocks. On the other hand, "Macy" isn't a good, tough name, as naming tough people after department stores is a no-no.
Also from the Star Wars universe is Mace Windu. Given that he beat Sidious in a lightsaber duel, is one of the only Jedi to freely draw upon anger, aggression, and dark wide of the force, has torn apart droids with his bare hands and is played by Samuel L. Jackson, yes, you should run away really fast.
In the David Gemmell novel Morningstar, the main character has two of these, his real name being Jerrik Mace and his title being Morningstar.
In Survivors, one of the dogs in the Fierce Dogs pack is named Mace.
Colonel Mace of UNIT in Doctor Who. When confronted with a Sontaran invasion, changes the bullets to steel jacketed, nullifying the Sontarans anti copper jacketed bullet field, calls in the Valiant, a flying aircraft carrier with massive fire power, gives a rousing speech, then proceeds to kill the Sontaran field Commander with a revolver, after saying "You will face me sir!"
Jerkass antihero of Climax's Dreamcast Timestalkers game, simply named Sword. Actually, everyone playable has a simple object name like the puppet being named Marion, except the elf Nigel, who was a hero from a previous game (though Sword is the only one people want to get away from for being such a smug Ahole). Lady scares the three mobster bad guys a lot, but that's because they're really just bluffing blustery types who are used to others doing their work.
The Wario series has Kat & Ana, twin ninja girls. They also have a pet bald-eagle and monkey named "Shuriken" and "Nunchuck" respectively.
Bayonetta. Not necessarily evil, but you're sure going to want to run very fast if you ever bump into her.
Just about every character in Soul Eater was named both after their weapon or weapon form and a famous musician. Examples: Maka Albarn, whose first name is an anagram of the Japanese word for scythe, "kama". She wields a Sinister Scythe and is one, in the anime. Black Star uses a giant shiruken, the Thompson sisters turn into Thompson Eagles, Jackie O'Lantern Dupre is a flamethrower, and Harvar D. Eclair is named after the French word for "lightning", conciding with the fact that he is an electric lance.
When Ukraine was not given a canon human name, the fandom quickly settled for Yekaterina "Katyusha" Braginskaya. As pointed out on her character sheet, Russians call three things 'Katyusha': girls, headbands... and rocket artillery.
Mocked in Dragon Age II in the Mark of the Assassin DLC; the party gets ambushed after speaking to a contact named Edge, and your party members point out either that the name is ridiculous ("Edge? That's his name?") or that they shouldn't have trusted a guy with a name like that.