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The various books get their names in different ways. Most of the Old Testament books are named for their theme. For example, the book of Genesis tells of the beginning (or genesis) of the world, and human history. The book of Exodus tells of the story of the Israelites' exodus out of Egypt. Psalms and Proverbs, are collections of, respectively, psalms (songs) and proverbs (wise sayings). The books of Samuel, Ruth, Job, and many others, tell the stories of the people after which they are named.
In the New Testament, there are three main naming conventions. Many books are named after their authors, such as the Gospels of Matthew, Mark, Luke, and John, along with a few other letters (also called Epistles), which are named after their authors, such as James, and First Peter and Second Peter (he wrote two letters that are in the Bible).
Some of the other books in the New Testament are also letters, and are named after the recipient. First Corinithians and Second Corinthians are the first and second letters written to the church in Corinith, for instance. And Romans is a letter written to the church in Rome. First Timothy and Second Timothy are both letters written to Timothy (who was a church leader at the time).
And finally, a few of the New Testament books are also named after their theme. Acts portrays the "acts of the Apostles", and Revelation is a revelation of new insight (although the exact theme of Revelation is somewhat of a disputed issue--some say it's a revelation about the future, others say it's historical in content).
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The other answers are great, but for those that like comprehensive lists...
Book Name - Reason for naming
Old Testament
New Testament
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The book names take a variety of formats, largely related to the kind of book they are.
The first set of books in the Bible are historical books (although the first 5 are usually considered as a separate set from the rest) - they give accounts of events that have happened - and they are usually named after key events they describe: Genesis includes the story about the genesis of the universe, Exodus includes the story of the Jews' exodus form Egypt. Later on, the two books of Kings (referred to as 1 Kings and 2 Kings) tell of various kings of Israel. Then there are several books that are named after the key people in them, such as 1 and 2 Samuel, Ruth, Esther, etc.
Some of these histories overlap considerably, so the books aren't in exact chronological order in the sense of each one following on from the next, but they are roughly in chronological order.
After the histories come a set of "wisdom" books, generally named after the nature of their contents (Psalms = poetry/songs, Proverbs). Then come the prophets - these read as histories but instead of concentrating on recording historical events as such, the focus is on revelations God made to key people. These books are named after the prophets they relate to.
Then we enter the New Testament, starting off with the four gospels. These are contemporary accounts of the life of Jesus, named after the person who wrote each one - Matthew, Mark, Luke and John. Then comes effectively a sequel to the book of Luke, which details events that happened after the life of Jesus - the book of Acts.
After Acts come a series of letters, which are either named after the people they were addressed to (often the church in a whole city rather than individual people) or the person who wrote them. Then, finally, there's the book of Revelation, which is effectively a New Testament prophecy, "revealing" much about Heaven and how the world as we know it will end.
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I looked at the answers to similar previous questions, but I found the answers not addressing the relevance of the Septuagint in how we have the English book names that we do. If anyone finds any errors in the following, I would appreciated knowing about them and will edit.
TORAH/PENTATEUCH
The first five books of the Bible are from the Hebrew "Torah", which means "teaching" or "instruction". In English sometimes the term "Pentateuch" is used, which in turn derives from the Greek Septuagint section called the "Five Books" - "Penta teuchoi". Starting in the 1st century AD, the books were often writen on a single scroll.
Genesis
Known as "Berishit" in Hebrew - the word meaning "In the beginning"
"Genesis" is the name given to the book in the Greek Septuagint - a translation of the Hebrew word "toledot", meaning "story", "record", or "line"
Exodus
Known as "Sefer ve'eleh shemot" in Hebrew, for "the book of 'And these are the names'", usually abbreviated as "Shemot"
"Exodus" is derived from the Greek title used in the Septuagint, which is a shortening of "Exodos Aigyptou", or "Departure from Egypt"
Leviticus
Traditionally called "Vayikra" ("and He called") in Hebrew; also called the "torat kohanim" ("instruction of/for the priests")
"Leviticus" is derived from the Greek title used in the Septuagint, "Levitikon", or, roughly, "[things] pertaining to the Levites" (i.e. the priests called from the tribe of Levi)
Numbers
Called "Bemidbar" in Hebrew, meaning "in the wilderness [of Sinai]" [Numbers 1:1]
"Numbers" is the literal English translation of the Greek title used in the Septuagint, "Arithmoi", which is titled thus because of the various censuses in the first four chapters. Some Jewish scholars believe that the Greek title also represents an older Hebrew title for the book.
Deuteronomy
There are two Hebrew names for this book: "Sefer Devarim" ("The Book of Words") [viz. Deuteronomy 1:1] and "Mishneh Torah", alluding to the copy of the Teaching that any future king was to have in hand, prepared by the Levites.
Deutoronomy is derived from the title given to the book in the Greek Septuagint - "Deuteronomion" - something like "Second Law" - meant to represent the Hebrew "Mishneh Torah"
NEVI'IM/PROPHETS
The Hebrew division of these books differ from what is found in Christian Bibles, which, in turn, is derived from how the books were divided in the Greek Septuagint
Joshua
Named for the main character, Joshua
Judges
Hebrew "Shofetim", meaning "Chieftains"
"Judges" is the English translation of the book's Greek title in the Septuagint - "kritai"
1 Samuel/2 Samuel
1 Samuel and 2 Samuel formed a single book "Samuel" in Hebrew, that described Samuel and the Kings he anointed (Saul and David).
The Greek Septuagint divided the Hebrew "Samuel" into two individual books named "1 Kingdoms" and "2 Kingdoms". The division between 1 Samuel and 2 Samuel retains the division found in the Septuagint.
1 Kings/2 Kings
Again, in Hebrew these formed a single book of "Kings", covering the times from the rise of Solomon through the Babylonian exile.
As was the case with Samuel, "Kings" was divided into two books, which were considered a continuation of the preceding two books of Samuel (1 Kingdoms and 2 Kingdoms in the Septuagint). Therefore, in the Septuagint they are named "3 Kingdoms" and "4 Kingdoms". The division between 1 Kings and 2 Kings in modern Bibles is that assigned by the Septuagint.
At this point the order of books within the remainder of the Hebrew Bible, the Septuagint, and the Protestant Old Testament diverge. I am following the Hebrew order and groupings.
The following books all take their titles from the Prophets that are their subject, both in Hebrew and in the Greek Septuagint:
KETUVIM/WRITINGS
The books in the Hebrew Ketuvim are a mix of historical works, prayers, wisdom works, apocalyptic prophecy; in short, everything that didn't get put into either the Torah or the Nevi'im.
Psalms
Known as "Tehelim" in Hebrew, meaning "Songs of Praise"
The word "Psalms" is derived from the Greek title in the Septuagint, psalmoi, the plural of "psalmos", which is the Greek translation of the Hebrew "mizmor", a song that is accompanied by a stringed instrument.
Proverbs
Known as "Mishlei Shlomo" ("Proverbs of Solomon"), or simply "Mishlei" in Hebrew.
"Proverbs" is the literal translation of the Hebrew title, or the Greek translation of the Hebrew title found in the Septuagint ("Paroimiai")
Job
Called Job in Hebrew and Greek ("Iob"), referring to the person of Job
Song of Songs
First of "the five scrolls", also called the "Song of Solomon".
Ruth
Relates to the person of Ruth
Lamentations
Called "'Ekha'" in Hebrew - "Alas", referring to the destruction of the First Temple.
Originally titled "Lamentations of Jeremiah" in the Septuagint, it also followed the Book of Jeremiah in the Septuagint. "Lamentations" is the English translation of the Greek title "Threenoi"
Ecclesiastes
The Hebrew title of this book is "Koheleth" which designates a person who gains wisdom through experience.
"Ecclesiastes" is the title given the book in the Greek Septuagint, meaning something like "the one who assembled" - meant to translate the Hebrew "Koheleth"
Esther
Relates to the person of Esther
Daniel
Relates to the person of Daniel
Ezra/Nehemiah
Written as a single book of "Ezra" in the Hebrew canon; precedes Chronicles, even though events follow what is in Chronicles.
These two books were broken up in different ways within the Septuagint, the Latin Vulgate, and later in the medieval Jewish text.
Both books seem to have been written by the same person - Ezra
1 Chronicles/2 Chronicles
As with Samuel and Kings, Chronicles is a single book in the Hebrew text and is entitled "Divrei Hayamim" - "Annals"
Chronicles is a parallel account of events detailed in Samuel and Kings (1-4 Kingdoms in the Septuagint), and was therefore titled "Paralepomenon" - roughly, "a supplement to things omitted" - in Greek.
The Septuagint divided the Paralepomenon into 2 sections. The division between 1 Chronicles and 2 Chronicles is the division found in the Septuagint.
In the above, I only considered the books that are found in the Masoretic Text and not all the books in the Septuagint, which include the Deuterocanonical Books.
I found most of the above information in the essays found in the Oxford Jewish Study Bible (2nd ed.) and in the dual-language Brenton Greek Septuagint.