Ethnic graveyards are especially useful. Not too far from our city, there is an awesome German graveyard (all the verses are in German!), and lots of unusual and sometimes pretty names. (There's also a a beautiful and haunting original poem on one of the headstones, which I copied down and asked my German friend to translate with me--it's thought-provoking.)
In Raleigh, North Carolina, there is a graveyard used almost exclusively by African Americans, and it's fascinating. Goes back to before the Civil War. Many of the names are very beautiful and exotic.
If you're looking for a name for a character that has a certain ethnicity, try to find the local graveyard associated with that ethnic group.
Any graveyard can be a rich source of distinctive names. I'm not sure if you're too young to know about the great television show of the late 1960s, Dark Shadows (Johnny Depp is in the process of doing a movie of it). The writers combed the graveyards in New England for unusual names, and found a lot of them, including the name of the most famous character on the show, Barnabas Collins (Johnny Depp will play this role, one of his childhood heroes). Other names from the show include Joshua, Angelique, Josette, Julia, Quentin, Gerard, Daphne, Millicent, Jamison, Naomi, Victoria, Phyllis, Gregory, etc. etc.--ahhh, memories! These people were very real to me growing up. Cool names, eh? (They were back in the 1960s--now you see them all the time.)