No kids, but my sister's BF had a name change a little while ago when his parents got divorced and he wanted to take his mother's maiden name (at least, I think that's how the story goes) and while he was filling out the form he decided to change his middle name legally to "Diablo".
I feel like giving a kid a strange first name is just cruel, but a strange middle name is acceptable. If they don't like it they can keep it secret, but if they like it a lot they can always choose to drop their first name and go by their middle name. I know a few people who go by their middle names.