It doesn't have to be a Japanese game, although that's probably where all the weird names are.
For me, it's a tie between new game that recently came out on the Vita, and an old PSP game: htoL#NiQ and Evangelion 3nd Impact.
Apparently, it's pronounced Hotaru no Nikki. Yeah. Tell that to the person who first sees that.
I can understand grammatical errors or stuff that doesn't make sense, but how could you possibly get 3rd wrong?! HOW?!
You might think that there are other games out there with weirder names such as Z.H.P. Unlosing Ranger vs Darkdeath Evilman, and even Ar tonelico II Melody of Metafalica, but I think these games take the cake for having the most bizarre titles ever in my opinion.