The band in "Scott Pilgrim vs. The World" is called Sex Bob-omb, which is hilarious.
Here are some more awesome names for bands that are also references to stuff.
Band names that reference David Cronenberg: Brundle-Fly; Flesh Gun; Viggo Mortensen's Junk
Band names that reference Woody Allen: Vicky Cristina Bossa-Nova; Paul Simon Stole My Girlfriend; Anything Else
Band names that reference Hitchcock: High-Angle Shot; Woman With Glasses; Alfred and the Cool Blondes; Cary Grant and the Crop-Dusters
Band names that reference JRR Tolkien: Council at Rivendell;The Ringwraiths; Smaug's Horde; Viggo Mortensen's Junk
Band names that reference Orson Welles: Deep Focus; F for Funk; The Rosebuds; The Third Men; Frozen Peas
Band names that reference video games: Starman; Falcon Punch; Warp Whistle; Tuesday is Raid Night; Kael'thas and the Setbacks; Spawn More Overlords; Mega-Buster and the Situational Upgrades; Deku Nuts; Day of Lavos; Call of Booty; Splinter Cello