The names of the Primarchs all have a significance. Mostly from our own histories, religions and mythologies. These are where I believe they may be from. Feel free to add your thoughts.
Horus - The name of an Egyptian God, the son of Osris. He avenged his fathers death. In 40K Horus avenges the perceived treachery by his father the Emperor.
Alpharius - his name is the opposite of what he is. Alpharius being the first greek letter and denoting he is the leader, he is, in fact the last.
Lion El'Johnson - Reference to the English poet Lionel Johnson, writer of the poem The Dark Angel.
Perturabo is similar to the Latin pertubatio: confusion, disorder or disturbed
Jaghatai Khan - an alternative spelling of Chagatai Khan, the second son of the Mongolian warlord Genghis Khan.
Leman Russ - presumably connected to the Rus' People who lived in now present day Russia.
Rogal Dorn - Germanic last name meaning Thorn
Sanguinius - Latin sanguis: blood
Ferrus Manus - Latin for Iron Hand
Angron - near homonym of anger
Mortarion - Latin mors: death
Magnus - Latin: big
Lorgar - most likely latin of Largior: to lavish or bestow
Vulkan - Roman god Vulcan.
Corax - Latin for raven
Konrad Curze - possibly from heart of darkness. A reference to Joseph Conrad, the author and Mr Kurtz, the principal antagonist
Guilliman - a common French surname. No real obvious reference, but could explain the hate towards the Ulttramarines and also their blue colour (Cobalt for the picky ones)