Regarding the Witch-King's name, from Tolkien Gateway:
"'Witch' most likely coming from his background in sorcery, and "king" after his establishment of the realm of Angmar in 1300."
There is a lot of literary material regarding the Witch-King, and stuff about him in the trilogy and in the Silmarillion.
Regarding the other Nazgul:
Khamûl is Ulaire Attea's actual name. He is the one who is initially in the shire looking for Frodo: "I come from yonder. Have you seen Baggins?"
He's an Easterling, and the second in command to the Witch King.
Other than "The Witch-King" none of the other Nazgul are actually named in the material that is actually from Tolkien.
I don't really care too much, but for those that are interested in going deeper, Iron Crown Enterprises made names and profiles for them, for the purposes of role-playing.
http://www.inmivoz.com/profiles-9-nazg%C3%BBlWhile the names are made up, the profiles fit, as best they can, what we
do know about the nine (example: we know three of them were of Numenor).
I think the most entertaining of these things is that Otsea is a girl hahaha. Sexy Nazgulette.