I like how this thread led to people actually coming up with lists of names for sessions, so here goes.
I've been making notes of all sessions I ran and played since I started playing way back when - and I have been naming sessions as long as that, usually retro-actively when I was the DM and often during play or right after it as a player. In all of this time, I can recall not much more than one or two instances where a DM other than myself had a name for a session, or even for the adventure if it was homegrown. Oh well.
Like many of you upthread, these session names run the gamut from puns, to variations on a theme, to catchphrases that apply to what actually happened during a session - sometimes with tongue-in-cheek references to ... other stuff - to combinations of all or some of the above.
For example, when a long-running campaign featuring PCs ending up greatly involved with a Thieves' Guild ended and a new one started featuring street urchins part of said TG, it didn't take long before it was dubbed "New Kids on the Block", and therefore:
I: Back Street Boyz
II: Nu Kidz On Da Up
III: Nailed
IV: Nu Kidz On Da Run
V: Nu Kidz On Da Road
VI: Blackout
VII: Back Street's Back
VIII: Nu Kidz In Da House
IX: Hangin' Tough
X: Step By Step
XI: Boyz II Men
XII: Up To Speed
XIII: (unnamed)
XIV: Move It On Up
To think I don't even like boy bands... Obviously, YMMV.
In another example, the first session of another campaign I played somehow led to the notion that all sessions were gonna be named after iconic or pulpy 80s songs and movies (or from the 70s when glaringly obvious because of events), for:
I: Sign o' the Times
II: Enter the Dragon
III: Boys--Boys--Boys
IV: Pet Cemetery
V: Clash of the Titans
VI: Two Thousand Years
VII: Flesh 4 Fantasy
VIII: Dungeon Time Again
IX: You Take My Self--You Take My Self Control
X: Tainted Love
XI: Do You Really Want to Hurt Me
XII: Church of the Poison Mind
XIII: Break on Through
XIV Break on Through Some More
XV: Stairway to Heaven
In another, short-lived instance, I used sessions titles to express displeasure at how a notoriously brutal and contrary DM went about handling
Vale of the Mage:
I: Big Problems
II: Familiar Problems
III: Problems As Usual, part I
IV: Problems As Usual, part II
So that was four sessions with the PCs being seriously beaten at every corner (by a single, strangely omnipotent orc shaman, mind you - sorry, emotions still running high) and not even getting close the vale.