Take it from a Canadian: Canada is a festival of great place names. This topic obviously can't be broached without mentioning the infamous Dildo, Newfoundland, but my favourite is still the standout Head-Smashed-In Buffalo Jump, Alberta.

http://en.wikipedia.org/wiki/Dildo,_Newfoundland
http://en.wikipedia.org/wiki/Head_Smashed_In_Buffalo_Jump