Behind The Name - A huge database devoted to the etymology of names. The site includes names from all over the world however these are mostly modern or common names or names inspired by literature or popular culture. Relies on general dictionaries for many 'Celtic' names rather than specific sources. The site has a message board specifically for etymology and for this reason alone is worth favouriting.
Medieval Name Archive - Very useful an accurate database of articles related to the history and meanings of Medieval names. Very meticulous with dates and usage but as it specifically aimed at authentic Medieval names, there are no modern or mythological names. The is also no search engine to look for a specific name, you just have to wade through all the relavent articles which are divided by origin.
The Society for Creative Anachronism - Has many of the same articles that appear on the Medieval Names Archive (though fewer) but it is slightly easier to navigate.
Pronunciation:
Name Nerds - A useful site for anyone interested in Irish and Scottish names. Provides a useful pronunciation guide and anglicised forms. Meanings that are given are short and in English (i.e. "warrior") but generally accurate as it references scholarly and widely regarded works.
BBC Wales - Useful audio files for hearing Welsh names pronounced.
General Etymology:
Online Etymology Dictionary - Very useful source compiled from leading English etymology dictionaries.
Germanic Etymology - a little difficult to navigate but useful for comparing the similarities in various Germanic words.
Wordgumbo - A freeware dictionary site with many language dictionaries. Separated into Indo-European and Non-Indo-European languages.