I agree with all of the above. I once had a character named 'Mary Christmas' and a google search proved that there were women named like this. Another RP situation was where the parents of a character of mine loved giving their children strange names (such as Wolfgang and Mozart), while giving their pets normal names. I knew a real life Wolfgang, so crazy is maybe not that crazy?
Truth is, plenty of people have weird ass names. More so if you look at the trends throughout the years. While I giggle over the surname of 'Dick', it was perfectly normal in the oh, sixties and earlier? And look at the names in the HP fandom, like Scorpius? (I'll admit that I'll think of Farscape first, but oh well.) On the other hand, there's plenty of John Smiths too.
It really depends on what you like. Some players don't like strange names for their character, but on the other hand, it helps to remember that you didn't have a choice in deciding how you would be named - your parents did.