This seems to be all over the place. Thanatos was originally labeled as "Tanatos" in the manual for the first game. They refer to him as this throughout his level, up until he corrects everyone saying he added the H. Because it sounds "Hamaaaaaazing!"note In actuality, it was always "Thanatos" to begin with; he's even called by this name in the manual for the 3D Classics version of the original game. "Tanatos" was simply the result of one of a number of romanization errors.
Strictly speaking, along with "Tanatos", "Palutena" was actually another romanization error made when the original game was released. Her name is really supposed to be "Parthena", but the former spelling has come to be recognized by Nintendo as the official romanization of her name, as evidenced by its use in this game.
In the Japanese version, Minami Takayama (Pit) and Aya Hisakawa (Palutena) worked in titles who resemble somewhat the characters they're portraying in this game: Takayama voiced Emilio Mikhailov, a Russian boy with angel wings and holy powers and Hisakawa voiced Skuld, another, more younger, goddess.
Pit is voiced by Antony Del Rio (Chico, Reptil, Young Kratos). The third one is particularly amusing, because of the obvious. Amusingly, people presumed for a great deal of time that Johnny Yong Bosch was Pit's voice actor due to similarities, even after he denied it at an anime convention when questioned. Likewise, some fans believed Dark Pit (also Del Rio) was Dante Basco at first, as he sounds a lot like Zuko.
The Other Marty: Pit has a different actor (Troy Lund) for the E3 2010 trailer. Based on his agency website, which lists him for the game as well, it seems possible that Nintendo's decision to go with a Los Angeles-based cast (rather than local Seattle talent like they usually do) was a late one. That, or the cast hadn't been finalized and they needed someone for the trailer.
Talking to Himself: Pit and Dark Pit are both voiced by Antony Del Rio. He did such a good job that before the voice cast was released, many people thought that Dark Pit was done by a different actor.
What Could Have Been: Sakurai wanted to make a game based on a franchise that Nintendo hadn't used in a while (prompted by a lot of interest from fans of these sleeping franchises), and his other consideration was a Star Fox installment. He decided to go with Kid Icarus as he felt Star Foxwas too restricted during gameplay sections whereas Pit offered more flexibility and freedom.