When former Led Zeppelin bassist John Paul Jones recently formed a new rock band, the music flowed easily. The struggle: inventing a name for the group.

Between takes in a recording studio, Mr. Jones brainstormed about names with his new band mates, including former Nirvana drummer Dave Grohl, then checked them online. Their first choice, Caligula, turned up at least seven acts named after the decadent Roman emperor, including a defunct techno outfit from Australia. Eventually the rockers decided on Them Crooked Vultures....