I love mythological names, so I have a ton on my guilty pleasure list!
AsherahDianaMinervaInanna- bonus points for being a goddess of sex and war
Persephone- one of my favorites, and she is also queen of the underworld
Asteria
AstraeaThalassa
OuraniaEurydiceIsis- I'm still so mad that this is unusable now
MorpheusCharonCernunnosAsterion
ZephyrBoreas
Some others that are over the top and/or goth-inspired:
Winter- it's unisex!
ElviraAltaluna
Corinthia
DesideriaScheherazadeOberonAstrophelDorianNovember- it's also unisex!
Koschei- he's a wicked sorcerer from Russian fairy tales, seems to fit the theme