Sometimes they think of something really bad and scary, and then name themselves after that. When they do this of course, they don't want to be judged according to their name.

Anthrax

-- Yep the rock group was like "Oops. That's a harmful substance? We didn't mean it that way", when people started sending it out in the mail.

Or they assume their names from the very offenders who wronged them, yet now they glamorize the title to their own ends?

Master P

-- Here we are referring to the Master moniker that slave owners used to identify themselves

Killa Klan Kaze

-- Maybe I am taking a giant leap but if you were to abbreviate, this group would be K.K.K

And then other times, they just delight in calling attention to evil people and themselves in the same sentence.

"...wild as the Taliban"...

-- Used by T.I. to describe himself.

Bin Laden

-- Title of Three 6 Mafia track glamorizing illegal goods that come from Afghanistan and beyond.