It's kind of big deal, actually. Such a big deal, that an entire genre is based on its title: Utopia. Utopia is a name More invented by combining the ancient Greek adverb "not" (ou) with the Greek word for "place" (topos)... ta, da: No-place. Many people point out its etymology in order to remind readers that even though we use the English word "utopian" to describe somewhere good, More really meant it to just describe somewhere impossible.
However, he was also, surprise surprise, playing a word game. "U" also sounds like the Greek suffix for "good" (eu) making the name Utopia also suggest "good-place." Confused? Don't worry, you kind of should be. More wants us, the readers, to have to decide which version of this name fits best. For some similar title-based fun, check out "Why Should I Care?"
P.S. In case someone cares, and in case you can pronounce it, the original, full title of the book is De optimo reip. statv, deque noua insula Vtopia, libellus uere aureus, nec minus salutaris quam festiuus. Good luck with that one.