Like any other personal trait or feature, a name is something that will affect a person's behavior and self-esteem. Some time ago, it was thought that an unusual name would eventually cause psychological problems for a child: this is probably true if you name your child Doggie Do Jones or something as ridiculous. But if you use a degree of self-restraint it appears that distinctive names are to your child's psychological and social benefit.
Many cultures believe a person's name is directly related to his or her soul. They are essentially right because a name is something that will always be an essential part of that person. An unusual name will help a person feel like a distinct individual, not just another "Tom, Dick, or Harry". If people feel unique and special, then their self-esteem is bound to increase. Simple.
A word of caution, although children appreciate being special, they are not as appreciative of being "different". Again, moderation should be stressed. If your child's name is extremely unusual or appears quite foreign to the society in which you live, mispronunciations and misspellings, as well as comments on your child's unusual name will be frequent. This could quickly annoy both you and your child. This by no means is to say that traditional ethnic names should be avoided. Just do not get too carried away.
An unusual name is always a distinctive name, but a distinctive name is always better than an unusual name. To illustrate what I mean consider two famous people: Leslie Townes Hope and Marion Michael Morrison. I think that both of these distinctive names are wonderful, but those two actors simplified their names to Bob Hope and John Wayne and became famous. No, they didn't become famous just because of their new names, but a well-crafted name does help people get noticed.