Colt, Winchester, Ingram, Glock, Mauser, etc. You're not likely to meet a Alexander U.S. Repeating-Arms, but if you do you should probably run very fast.
Anime and Manga
Subversion: In the anime Scrapped Princess, the Casull family is on the run from the church of Mauser and pretty much 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.
Don't forget 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.
The Winchester brothers on Supernatural. In the episode "The Benders," a county police officer asks, "Like the rifle?" and Dean answers, "Like the rifle."
In the season 4 episode "It's a Terrible Life," the bewitched brothers believe their names are Dean Smith and Sam Wesson.
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."
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.
Bullet, the protagonist of Cynthia Voigt's The Runner, though it's technically not his real name. He's a very fast runner. It proves a tragically appropriate name, as he is killed in the Vietnam War.
Subverted in an episode of Red Dwarf where Kryten tries to sound tough with the name Jake Bullet ... only to discover that his Badass-sounding 'Cybernetics Division' is traffic control.
Simon Green's Nightside gave us "Shotgun Suzie," aka "Suzie Shooter," aka "Oh Christ, It's Her, Run!"
Jack Vance has Heroic Sociopath/Villain Protagonist Cugel the Clever, a homophone for cudgel. Also a jab at the character, since a cudgel is the exact opposite of his attempt to be clever and subtle.
In the Warrior Cats series, the main villain was named Hammerclaw in drafts of the first book. Someone pointed out that the cats wouldn't know what a hammer is, and his name got changed to Tigerclaw.
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.
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.
Film
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, really damn fast.
Literature
In the David Gemmell novel Morningstar, the main character has two of these, his real name being Jerrik Mace and his title being Morningstar.
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!"
The murderous psychopath clown from the Twisted Metal series is called 'Sweet Tooth' after his ice cream truck by most people, but his ''real' name? Needles Kane.
Tsurugi Inugami, is named after a sword. He's also named after a Japanese Mythology god as a bonus. The thing is, he is not one bit of a Badass. In fact, he is a downright pushover to Misao Nanjo.
The legendary assassin of the Bakumatsu, Hitokiri Battousai, which practically translates as "the assassin quick at drawing swords."
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 as hell going to want to run very fast if you ever bump into her.
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.
Empowered: Willy Pete gets his name from the military lingo for white phosphorus. Anything else there is to say about him can be found on the Complete Monster and Nightmare Fuel pages.
Duke Nukem, of course. Or does that count as a verb?
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.
Webcomics
Far Out There features a little boy named "Megaweapon." Disturbingly, it fits him perfectly.
