According to Wikipedia, Harry came up with the band name because he thought the band had to go in "one direction" to win it all. Well, they didn't win the X Factor UK, but they did win the world!
UPDATE: It turns out Harry Styles and co. weren't the only (or first!) One Direction band out there. The British band was sued by a American punk band with the same name this year, but the Brits ended up winning the legal battle and getting to keep their name. Another win for One Direction!
For more One Direction coverage by Wetpaint Entertainment, click here!