Henry has a lot of great history, but it's so overused that it's been ruined for me. I'd still use it as a middle name.
Margo never sounded quite right to me. It's the "goh" sound ... not natural. I do like this spelling best though. I know two at university, and they both spell it
Margaux, which is odd since I always thought that was the rarest form. One is French, but the other is Scottish.
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Elinor♥