I like our Milky Way for the simple reason that it's the only part of our personal cosmology that has any individuality to its naming. Our planet is just the common word for dirt in one of our languages; our sun's name is Latin for star; the system around it is just named after it, and, skipping past a frame, our local galactic group is called... the Local Group. But hey, hey, if we ever get famous, they'll find us by the ol' curds and whey!