I think i prefer the name Maugrim, thats what i've been brought up knowing but i find the name Fenris Ulf quite cool as well, though i have to agree the Ulf part doesn't sound to good.
Someone mentioned that the name derived from norse mythology, there is a relatively short explanation of Fenrir from norse mythology bellow if anyone is interested.
Fenrir, more often called Fenris Wolf was the monstrous son of Loki, the Norse god of mishcief. He was the first wolf and the most fierce and huge there has ever been, destined to bring great harm to the norse gods. Because of his fierceness, and insatiable hunger the gods bound him (with much difficulty, and at the loss of the powerful god Tyr's right hand) in the underworld, it is said that he will come again on ragnorak (the worlds end) where he will open his mouth so wide as to touch heaven with the top of his jaws and scrape the ground with the bottom, all the time blowing flames from his mouth and nostrils as he walks along, where he will kill the great god odin but be killed himself by another god as the forces of evil destroy the world and the moon and son are swollowed by two of his great and terrible offspring the last godly defenders will perish and so will end the world.
Sorry rather longer than needed i am just fascinated by history, mythology and legends and religion so i sort of got on a roll there.