I've done pun names, but they tend to be very obscure and my players sledom catch them.
One of my best was the name of a high-level female elf diviner, Emilisalier Amiraiah, also known as the Indigo Lady because of her fondness for that colour.
Another was a half-celestial fey bard (very good with a fiddle) named Verenestra Lefay.
The biggest disaster at the Civic Festhall in Sigil in my campaign occured when they booked an undead choral group named "Siouxsie and the Banshees".
Of course, there was also the Rock Group, a band that composed hits such as "One Look in Medusa's Eyes" and "Body Rock".
Finally, my PC Fighter/Mage/Thief (this was in 2e) was fond of disguising himself as a twin-scimitar-wielding dark elf named "Grizzit Goget'em".