First, if you haven't seen the below video, I recommend watching it, as not only is it hilarious, but I'm going to refer to it later in the post.
Some people agonize over naming their PCs and NPCs, and I'm absolutely one of them. Do you go for pseudohistorical? Modern/realistic? Sword-and-sorcery vibe? Random assemblage of nouns as compound words?
To me, the name of a thing conveys so much about the thing - and not all of it is obvious. The sound of a name matters, the pacing of it. Rhyme, alliteration. This stuff does something to the subconscious and resonates with our cultural influences.
Look at it this way. Imagine I have before me the character sheets for four magic-users. No, strike that, it's the same identical character sheet, sans equipment, four times. And we write four different character names on those sheets. Now I want you to read these four names and imagine each one as a magic-user. Seriously take a second and get a picture in your brain for each one. Ready?
Dafydd ap Llew.
There, did you do it? Got some pictures in your mind? Let's see if you think like I do.
Dafydd ap Llew. Obviously Welsh, this guy resonates immediately as a proper "celtic" wizard with all the trappings that might entail. A triskelion around his neck and a staff in his hand. Shapeshifter, maybe.
Kyzal Gax. Sword and sorcery, maybe gonzo. Dude wears a horned skullcap just because. Possibly owns a ray-gun.
Jaedar Falconwind. Forgotten Realms wanker.
Volonius Gump. Sounds like a Wampus Country dude to me. Tweed suit, little moustache.
Why would I (or you, if you got the same vibe I did for any of those) jump to those kinds of images?
It's the names. The sound of the names.
When you use something historical-sounding, that image is going to stick if your audience (the 'hearer') is familiar. I don't care if you tell me a hundred times that your paladin is green-skinned with ruby eyes, if he has a Japanese name then some part of my brain is going to file him under 'samurai' in some way. The same is true for Celtic names, or Classical-sounding ones.
On the opposite end of the spectrum, if the character has some uncommon letters in his name (x, z are classic), we're starting to lean sword and sorcery in that barbarians-versus-tentacles sense. At least to my ear, anyway.
Poor Jaedar Falconwind didn't have a chance, did he? The compound surname, the unfortunate "ae". He's a second-edition character with a kit, and Larry Elmore painted him with Stevie Nicks hair.
The fourth name, which sounds Wampus Country to me (and probably to you), does so because it has a long, pseudoclassical first name paired with a one-syllable inherently-humorous surname (which is itself a rather nice-sounding onomatopoeia, I think). Some people might see this kind of construction and it will remind them of Harry Potter, and rightfully so, because it's a trick Rowling uses on occasion (and which she pretty much lifted from Dickens, to give credit where credit is due).
Think about patterns and mock-patterns. If I tell you my character's name is "Hercules Jones", do you immediately assume he's a blaxploitation action character? Names change, culture and subculture change - and a particular pattern of nomenclature can fix a character to an era or a subculture.
Here's the thing - we all do this, to some extent, every time we name a character (PC or NPC). Much of the time it's subconscious - we reject something that pops into our head because it doesn't "feel right". We do it when we're naming places in games, too. How many of the big settings have faux-Egypt places where all the mummies have faux-Egyptian names?
Do you say a character's name aloud while you're trying to decide? You should. If only because something which at first blush looks good on paper might sound hackneyed once you've said it to your players a half-dozen times ("He seriously named the evil wizard 'Morgoth'? Really?"). Cliche and cultural resonance are useful tools when deliberately applied, but you probably don't want to stumble into one unaware.
So back to the Key & Peele sketch linked above. In my opinion there are three 'peaks' to the humor in that bit. One is most of the names in the first half, because they're plausible or borderline plausible, which sets up the humor of the whole thing. Those names are ridiculous on the face of it, but the fit "in genre" for the purposes of the context set up by the sketch. The second peak of humor is not the illustration-of-absurdity names (the dolphin and construction sounds), but the jarring transition from that to "Donkey Teeth" and "Mousecop", I think. And, of course, the rimshot is "Dan Smith" at the end.
You could look at this as a kind of continuum of nomenclature. When you're naming a PC, you probably want a name that's just [funny, badass, in-genre] enough without going over the top. Unless, of course, "over the top" is the genre in which we're playing, in which case...I need a minute to roll up my ranger, X-Wing@Aliciousness.