The name Wednesday is a girl's name of English origin meaning "Woden's day". Wednesday and is often added to lists like Attitude Names for Girls and discussed in our forums with posts like "Names on NB that make you go WOW!".
From the experts:
Name made famous by the macabre character Wednesday -- middle name: Friday -- Addams is taken from the name of the day dedicated to the Anglo-Saxon god Woden, who relates to Mercury. Cartoonist author Charles Addams was said to choose the name because "Wednesday's child is full of woe."