There he is!
One of the great recurring legends in naming things is the old story about how the foreigner mistakes a "there" or "what?" for a name. "Kangaroo" is supposed to mean "I don't understand you" - although, sadly, it's really the Guugu Yimithirr word gangurru. I remember being told that the name Canada really means "over there", but it comes from the St. Lawrence Iroquoian word kanata, meaning "village" or "settlement".
But here's one that may (may) be true. (Wikipedia doubts it, but the guy they're quoting is wrong on a few other things.) This is the indri, a large, shy lemur. Its English name seems to be from a Malagasy word "indry" meaning "behold" (like French voila, or Russian vot) or the phrase "indry izy - there he is". The standard Malagasy word for the indri is babakoto.