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In general, I do not find mythological names pretentious. It shows that their parents had an interest in mythology and wanted to share their passion with the next generation. Some of the less common mythological names are avoided for a reason like Uranus, Oedipus, Phaedra, Sisyphus, Bacchus, Cronus, etc. I do think perhaps that names like Zeus and Apollo might sounds pretentious or at least very hard to live up to. It would be awkward being a skinny, unathletically inclined Hercules or a plain Aphrodite.