Two spring to mind: the Castlevania series, and Vagrant Story.

From Castlevania

Various titles from the Castlevania series opt for archaic, almost nihilistic, names that fit well with the tone of the game:

Symphony of the Night
Portrait of Ruin
Harmony of Dissonance
Aria of Sorrow / Dawn of Sorrow
Lament of Innocence
Order of Ecclesia
Order of Shadows

From Vagrant Story

Another: the Playstation game, Vagrant Story. It had atmospheric dialogue, great music and (for its time) looked gorgeous -- and the names of its rooms are particularly evocative, often mellifluous with a medieval tinge. Some examples, in no particular order:

Corridor of Shade - Room of Rotten Grapes - Bazaar of the Bizarre - The Chapel of Meschaunce - The Fallen Bricklayer - The Cleansing Chantry - Advent Ground - Persecution Hall - The Poisoned Chapel - Beggars of the Mouthharp - Prisoner's Niche - Crossroads of Rest - Chamber Of Reason - The Withered Spring - Sewer Of Ravenous Rats - Monk's Leap - The Greedy One's Den - The Wine-Lecher's Fall - Hall of the Empty Sconce - Entrance To Darkness - Corner of the Wretched - Dark Abhors Light - Priests' Confinement - Traitor's Parting - Wine Magnate's Chambers - The Darkness Drinks - Hall Of Dying Hope - The Sunless Way - Underdark Fishmarket - The Hero's Winehall - Sinner's Corner - The Weeping Corridor - The Soldier's Bedding - The Victor's Laurels - Dreamer's Entrance - Those Who Drink The Dark - Pray To The Mineral Gods - Maelstrom of Malice - The Hall of Broken Vows - Hieratic Recollections - Hall of Struggle - The Washing-Woman's Way - A Wager of Noble Gold - Cracked Pleasures - Tunnel of the Heartless - Revelation Shaft - Corridor Of the Clerics - Place of Free Words - The Rich Drown In Wine - The Flayed Confessional - Subtellurian Horrors - Gambler's Passage - Tears From Empty Sockets - Hall of Sworn Revenge