A couple that I remember (please note that these are translated from Spanish):
Below Zero - It was actually boiling hot in there!! Underground with no ventilation!
Aunt Mary's Garage - A guy actually used to hold concerts in his Aunt's garage, he then moved to a 1000 person capacity venue and kept the same name.
The Cigarette Pack - This was a tiny place, and always full of smoke, the name fitted quite well!
Alfred's Bike Bar - The funny thing about this was not the name, but the fact that it was at the top of about 100 steps in a pedestrian zone!
I'm sure there are more that I forget!!