I like Thierry Henry. The way Henry is spelt is fantastic because the English would pronounce it Henry and the French Henry and when you finally understand how it is pronounced you might say "**** is that how you say it?". Also it won't cost that much to get a replica of his name on your shirt.
I think Sebastien Grosjean (tennis) has a pretty awesome name considering the fact that it took me some time to get the right pronounciation