Juliet once said that a "rose by any other name would smell as sweet," which was a fancy-pants way of saying that she didn't care that Romeo was a Montague. In the world of Wicked, though, names really do matter.
Names and titles have a lot of symbolic power here: they define who people are and how they are perceived by others. They also symbolize the power of self-reinvention. We can really see this with the three major characters who undergo dramatic personal changes and have name changes to match: Galinda becomes Glinda, Elphaba becomes the Wicked Witch of the West, and Nessa becomes the Eminent Thropp/Witch of the East.
It's notable that characters both choose and are given names here. Galinda of course chooses to become Glinda, which is her way of representing the internal changes she undergoes after Dr. Dillamond's murder and Ama Clutch's slow decline and death.
Elphaba, on the other hand, is continually given names by other people: her resistance/terrorist cell calls her "Fae"; her family and friends call her Fabala and Elphie; Princess Nastoya declares her a "Witch"; the public at large grant her the moniker Wicked Witch of the West. Elphaba is thus defined and determined by the people around her, and she often accepts these names. Names and naming help demonstrate how Elphaba isn't always wholly in control of her own identity, which is rather fitting. After all, as the Wicked Witch of the West, she is almost more myth than reality.
In a 2008 interview, Maguire offered up an interesting thought on this motif and on the theme of evil in Wicked. He asks:
If everyone was always calling you a bad name, how much of that would you internalize? How much of that would you say, all right, go ahead, I'll be everything that you call me because I have no capacity to change your minds anyway so why bother. (source)