The party I DM is the Order of the Pegasus; an old knightly order they discovered in their home world, and then adopted when they were brought to Faerun, and now are legitimized as a Knightly Order of Mithril Hall, under King Bruenor.
My old 2e FRCS campaign was "The Stormlords", much to the chagrin of the church of Talos, who were made instant enemies.
I have played in groups with names such as The Wildrunners, The Gryphon Protectorate, and just "Them Guys" (very fun name "We're Them Guys, you called?")