Hugely disappointed to find out that perennial Cambodian runner-up Hello United has re-named itself Phnom Penh United. This wasn't just a club with a amusing nickname (e.g. Chievo Verona's "Flying Donkeys") - this was a club whose official name was ludicrous.
Most North American and European teams simply take their names from the locale in which they play (or used to play, in Arsenal's case). Torino's Juventus (meaning "youth") and San Sebastian's Real Sociedad (meaning "Royal Society") are the only major teams whose names give you no historical clue as to the geographic origin of the team.
(Not knowing this can lead to some howlers...about six years ago, Alex Ferguson, whose Man U team were set to face Real Madrid in a Champions League match, was asked how he thought los merengues' match against real Sociedad would affect their forthcoming match against Man U..to which he replied "are they playing in Sociedad?")
But in Latin America, this convention is routinely ignored. Sometimes, this is because they have simply borrowed a European team name - Ecuador has a Barcelona, Argentina has an Arsenal (which, confusingly, has a feeder-club relationship with Barcelona), and Brazil has a Corinthians, after the original English gentleman's club. Then there are teams like Vasco da Gama and Newell's Old Boys.
In Africa, you can get some magnificent team names. Ghana's "Hearts of Oak" are only the most fanmous team in the country, but in that country's top division alone, you can get teams such as "Heart of Lions", "Great Olympics", and - one of my favourites - the saudi-sponsored "King Faisal Babes". Some of this spirit also exists in the Caribbean - Trinidad's Joe Public FC would be among my favourites if they weren't owned by the odious Jack Warner.
In Asia, teams are commonly named after the company or state industrial concern that sponsors them. Thus, Air India has a team in the Indian National League, the Bhutanese national champions are "Transport United". The exceptions are China, Korea and Japan, which tend to follow the fairly dull North American tradition of "place name, nickname", (e.g. Chunnam Dragons). The saw-off is that the nickname may itself be a commercial one (e.g Dalian Shide), a tradition that may be heading to North America (e.g. New York Red Bulls)
J-league teams' names are famously odd, including as they do the Kyoto "Purple Sanga", Nagoya "Grampus Eight", The Shimizu "S-Pulse" and the second-division Mito "HollyHock" although each actually does have a historically and geograpically-grounded rationale (I could go into it here, but their respective wikipedia entries do a good job, if you're interested). Certainly more so than, say, the "Pittsburgh Penguins" or the "Utah Jazz" (or "Real Salt Lake", come to think of it).
Still, a special spot in my book has to go to Welsh side Llansantffraid F.C.. Desperate for cash, they hawked themselves to a local telecom outfit and became Total Network Solutions Llansantffraid F.C. - a name under which they actually competed in Europe for one year, giving them an even longer name that the normal gaggle of Polish and Belarussian teams that twist even the most competent commentator's tongues. Later, thankfully, they shortened the name to just TNS. When the parent company got bought out by British Telecom in 2005, they needed a new name and tried to sell the naming rights via eBay. Unfortunately, the reserve price was not met and they took the rather more prosaic name "The New Saints"