Warning! Spoilers ahead for the Game of Thrones season 7 finale.
"His name is Aegon Targaryen..." Lyanna Stark (Aisling Francoisi) whispered into her brother Ned Stark's ear, as she handed him a cooing newborn. When Ned Stark (Sean Bean) brought him back to Winterfell, he changed his name to Jon Snow (Kit Harington) and raised him as his bastard, in order to hide his true identity, which could have put the child's life at risk.
Jon Snow doesn't know who he truly is. He reluctantly accepted the title of King in the North, only ruling over the Northmen out of a sense of duty and honor, not a desire to be a leader. This is a stark (pun intended) difference from his Targaryen ancestors, several of which shared his true name Aegon.
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Who are the Aegons that have come before him? Vanity Fair has an incredibly detailed breakdown of the dragon house's ancestry, starting with the most famous Targaryen of all, Aegon I Targaryen the Conqueror. Aegon dreamed of uniting the Seven Kingdoms under a single house's rule; at the time, each kingdom has sworn fealty to a different king. Several gruesome wars ensued in order to wrestle rule from Westeros' disparate houses, until finally Aegon rode his dragon Balerion the Black Dread. Balerion was the ultimate weapon – he conquered the Seven Kingdoms in just two years before being named King by the High Septon. Aegon then constructed the Iron Throne out of the swords of the enemies he killed, and started a dynasty that would come to rule Westeros for over 300 years. It's obvious that Dany sees herself the second coming of Aegon the Conqueror.
The other Aegon is Jon Snow's older half-brother. If this is confusing, bear with me while I explain some mind-bending history. Rhaegar Targaryen, Jon Snow's real father and Daenerys' (Emilia Clarke) older brother, married the princess of Dorne, Elia Martell. They had two children, Rhaenys and Aegon, who were killed by the Mountain when they were babies. The Mountain was sworn to House Baratheon, and he killed the Targaryen heir during the Sack of King's Landing by smashing his head against a wall in front of his mother.
As a note: in the books, a teenage boy claims to be the true Aegon Targaryen. He explains his true identity by stating that he was switched with a peasant baby shortly before the Sack of King's Landing, while Varys whisked away the royal baby to safety. Many book readers, myself included, believe this is a pretender claimant to the throne, a theory known as fAegon, short for Fake Aegon.
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Rhaegar apparently loved the name Aegon so much that he named his second secret son Aegon as well. Aegon is a name that has power and fame in Westeros, and since Rhaegaer was a studied believer in the Prince Who Promised prophecy, he must have found this name to be superstitiously important.
Prophecies don't need to come true in order to be validated — sometimes they just guide a character's behavior and explain their motivations, which is still plenty useful as plot device. We're anxious to see if Jon Snow/Aegon III Targaryen lives up to the heavy weight of his name.
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