How about Tightwad, Missouri. Legend has it that someone was shortchanged there and talked badly about the place evoking this curse of a name.
Santa Claus, Indiana is one place you never have to worry about taking down the Christmas lights.
One of my favorites is Truth or Consequences, New Mexico. Seems that it was named after a 1950's radio show.
Cool, California...need I say more? Actually, it was named for a traveling preacher but I'll bet natives would say otherwise.
Any "cool" sounding towns by you?