Here are some [shebang (#!/path/to/interpreter
) fun facts][2].
And why shebang? In music, '#' means sharp. So just shorten #! to sharp-bang. Or it might be derived from "shell bang". All this probably under the influence of the american slang idiom "the whole shebang" (everything, the works, everything involved in what is under consideration). See also the wiktionary, jargon dictionary or Merriam-Websters. Sometimes it's also called hash-bang, pound-bang, sha-bang/shabang, hash-exclam, or hash-pling (british, isn't it?).
According to Dennis M. Ritchie (email answer to Alex North-Keys) it seems it had no name originally.
And Doug McIllroy mentioned (TUHS mailing list), that the slang for # at Bell Labs most probably was "sharp" at the time.