U-2, Irish federal unemployment form
Not related to the American spyplane, the U2, the seminal Irish band derived its moniker from federal unemployment forms from the late 70s called U-2s. Another band, UB40, gets its name from the British equivalent of the U-2.
Source: Sacks, David. Letter Perfect. New York: Broadway Books, 2003., 1/1/2003

The Warlocks
According to Dolgins' Rock Names, the Velvet Underground originally called themselves the Warlocks. This name was also used at some point by both Nirvana and the Grateful Dead.
Source: USA Today, 6/4/1993

The Hair
According to Dolgins' Rock Names, The Who called themselves The Hair early on in their career.
Source: USA Today, 6/4/1993

The Vogue Dots
The Talking Heads called themselves the Vogue Dots before adopting the term for static head shots on TV.
Source: USA Today, 6/4/1993