In a game set in the Forgotten Realms, the players named themselves The Rooks, since their employer lives in a tower. Rook also means scam artist, which was also a pretty apt description of them.
In a Return to the Temple of Elemental Evil camapaign, I coined the name Wrecking Crew for our group because we were a crew. And we wrecked the dungeon.
In my current game, the group named themselves after what the mayor of a small town called them, Points of Light (the mayor talked like George Bush). Thus the Five Points of Light were born, until a new member got a little upset that she was included in the name. Later I invented prophecies referring to points of light.