I once read a study showing that teachers had lower expectations and called less on kids with "funny" names. Oscar, Agnes, Abner and Moonbeam started out with a nominative handicap. Tom, Mary, Jennifer and Bill got more of a teacher's attention. Unfair? Of course, and most teachers were totally unaware that they were doing this. But if this happens in the classroom, it's a good bet that it carries through in the rest of life. Many people overcome this with the force to their personalities or talent. Look at our current president. But, do you really want your characters to have to fight for attention before the reader gets to know them?
I took a chance naming my male protagonist Edgar. It's a family name and I like it, but I know that "Duncan" for instance, has a stronger sound. Catherine is a good, solid name that has been popular for centuries. I don't know if the first mystery would have sold if I had named her "Pagana" or "Hodierna", both popular medieval names for women. And I would have been ousted from the Medieval Academy if I had called her "Chelsea" or "Jennifer".
As Priscilla mentioned, writing historical novels adds another challenge to naming. The author not only has to use names that fit the period, she also has to deal with the names of real people who might wander in and out of the book. In my case, the European nobility were stuck in a rut of Matildas and Williams. One thing I and other writers, like Sharon Kay Penman do, is to use various forms of the names: Maud and Mahaut for Matilda, Guillaume and Wilhelmus for William. This only works when the person is not terribly well known. William the Conqueror was probably never called William by his friends. But that's how we know him and "Guillelmus the Conqueror" just doesn't have the same ring.
But, if you are fond of a strange name, you could make it a part of the character. Say, opening with: "Being named Aethelflaed had cursed her life." and carrying on from there. I'm not sure I'm that brave, but you might have a best seller.
And, Happy Thanksgiving to all in the US and Happy next Thursday to everyone else.