Led Zeppelin
Of course they're hard rock legends today, but you need look no further than the name of the band to know what sort of expectations were on them when they first formed. After Jimmy Page and Jeff Beck jumped ship from the Yardbirds, Page began entertaining the idea of forming a supergroup with Beck, and Keith Moon and John Entwistle from The Who. Moon and Entwistle were pessimistic about the prospect, expecting to "go over like a lead balloon". When Page finally did form a new band with Robert Plant, John Bonham and John Paul Jones, the name Led Zeppelin was chosen as a humourous self-deprecating allusion to the expression. Led Zeppelin were not well-recieved by critics at first, either-- at the time of the release of their debut album, Rolling Stone accused them of being derivative of the Jeff Beck Group and Cream, and called Plant "as foppish as Rod Stewart, but nowhere near as exciting." Ouch. That had to sting. That, though, is why I take the word of critics with a grain of salt, and why I like the name so much-- it's a reminder that sometimes, the true scope of an artist's contributions simply cannot be understood without the benefit of retrospect.
Nine Inch Nails
For years the rumour has been that the name refers to the spikes driven into Christ's arms during his Crucifixion. Trent Reznor has never validated that theory, saying instead that he chose the name somewhat randomly, because it sounded good to him and was easy to abbreviate. At any rate, it's a definite improvement over Exotic Birds.
Stabbing Westward
As far as I'm concerned, also an improvement over Exotic Birds. The name apparently comes from Christopher Hall and Walter Flakus's days at Western Illinois University, as an expression of their contempt for the area.
Soundgarden
Interestingly, the band took their name from a piece of artwork: a public kinetic sculpture entitled A Sound Garden, built by artist Douglas Hollis in Seattle in 1983. The sculpture consists of several steel towers adorned with weathervanes containing organ pipes. When the wind blows, they actually move and play!
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Mediocrity is a petty vice; aspiring to it is a grievous sin.