Remember these characters from the SSBB assist trophy?
Their names are Kat and Ana. Together their names spell katana, the correct term for the type of Japanese sword often called a "samurai sword". In fact their weapon of choice appears to be the katana.
Likewise, the Japanese name for Megaman is Rockman, and when considering his sister's name Roll, it is obvious that their two names together "Rock and Roll" are a parody on the music genre of the same name.
Anyone else here aware of any other hidden jokes embedded in the names of one or more characters (in particular, combining names to spell another word or words) in video games?