One of the most successful bands in rock history is named after a joke predicting that a Jimmy Page supergroup would flop.
In mid-1968 the Yardbirds broke up. Jimmy Page kept going under the name the New Yardbirds, with Robert Plant, John Paul Jones and John Bonham. They played Scandinavian dates as the New Yardbirds in September 1968. Then Chris Dreja, a former Yardbird, sent a cease-and-desist letter. Wikipedia says the name was approved only for those Scandinavian shows. The band needed a new one.
The name they picked came from an insult. The story is usually pinned on Keith Moon of The Who. Wikipedia gives it as one account: Moon and John Entwistle, The Who's bassist, said a supergroup with Page and Jeff Beck would "go down like a lead balloon." Phrase Finder says Page has confirmed the essence of the story, though nobody wrote the remark down at the time.
The idiom itself is American. Phrase Finder traces "a lead balloon" as a symbol of failure to a syndicated 1924 newspaper cartoon. It did not reappear until after the Second World War.
Two edits turned the jibe into a band name. "Balloon" became "zeppelin," the giant German airship named after Count Ferdinand von Zeppelin. Wikipedia quotes the journalist Keith Shadwick on why it worked: "the perfect combination of heavy and light, combustibility and grace." A zeppelin made of lead is a heavy thing that should not fly, which suited a band about to play very heavy music.
The second edit was spelling. Manager Peter Grant cut the "a" from "lead," so that people who did not know the idiom would not say "leed." The band played its first show as Led Zeppelin on October 25, 1968, at the University of Surrey.
The Zeppelin family was not amused. Countess Eva von Zeppelin, a descendant of the airship's inventor, objected to the use of her family name. According to Ultimate Classic Rock, she was especially angry at the first album's cover, which shows a burning airship. Facing her legal threats, the band played Copenhagen on February 28, 1970, as "The Nobs." Page called the whole thing absurd.
The lead balloon, of course, never came down.