I share a first name with a mythological deity, so introductory conversations usually start with "Oh, like the god/goddess of...", but I don't mind it too much because I happen to really enjoy mythology in general. It's a great icebreaker most of the time and only annoying when someone frames it as "Did you know?" Like, even if it wasn't one of those dieties most of us learn about in middle or high school history class, do you think you're the first person to explain this to me in the last 30+ years of my life?
The thing that really bothers me is people have this strange inclination to sing my name at me after they learn it. It's been used in a good handful of songs and is even the title for one by a famous 60s/70s band. The weird thing is some people aren't even referencing one of those songs. They just make up their own little tune.