Inspired by this thread http://www.warseer.com/forums/showthread.php?t=7252
Add any more you know are fact. If you aren't sure, please say so.
I've started with a few primarchs, but in theory there are thousands of references to be found.
Fulgrim - I could only find this. Hmm.... http://www.chimerabooks.co.uk/index....TOKEN=67151766
Roboute Guilliman - Jacques Duchesne-Guilliman - Zoroastrian scholar. Many people are named Guilliman, so this is probably a dead end.
Corax - read edgar allen poe. http://bau2.uibk.ac.at/sg/poe/poe.html
Sanguinius - http://en.wikipedia.org/wiki/Sanguine
Lion'el Johnson - http://en.wikipedia.org/wiki/Lionel_Johnson Homosexual poet, wrote a poem called "Dark Angel"
Leman Russ - Russ meaning norwegian cultural phenomenon and tradition. Also The word rus comes from Latin, Cornua Depositurus, to put aside one's horns; in Norwegian, an extra s was added. The tradition goes back to the 1700s, at a time when no universities existed in Norway, and Norwegians would attend the University of Copenhagen to study alongside Danish students. To be enrolled at the university, students had to pass the Examen Artium. After completing their examinations, horns were placed on their foreheads and they were ridiculed by older students. When the results from the exams were ready, the students would participate in a ceremony called Examen Depositiones, in which they were called up to the examinator: if they had passed the test, their horns would be removed, as a sign of wisdom and subjugation of the wild animal within. From then on, the young persons had the right to call themselves students.
Ferrus Manus - it means Iron man or possibly iron hand in latin.
Rogal Dorn - the battle of hatchie's bridge in the american civil war featured a commander called Earl Van Dorn. Echo's of the background of captain lysander.