Thanks to curiosity and Sunday with nothing to do, I finally got around to looking up the history of how the months are named. Here we go.
In way-back B.C. times, the Roman calendar only had ten months: Martius, Aprilis, Maius, Iunius, Quintilis, Sextilis, September, October, November, and December. The sixty days of winter, which came between December and Martius, were not considered important enough to have months associated with them. Quintilis through December, obviously, were named for their numerical position in the year. Martius, Maius and Iunius (the letter "J" wasn't invented until the 16th century) were named after the Roman gods Mars, Maia and Juno; Aprilis was either named for the goddess Aphrodite, or else derived from the Latin word aperire which means "to open", probably referring to the "opening of the light in the days, the life of the leaves, the voices of the birds, and the hearts of men."
Then in 700 B.C., this king Numa Pompilius decided to add two new months at the beginning of the year to account for the nameless winter, to bring the calendar in line with the standard lunar year. The first month was appropriately named Ianuarius, after Janus, the god of gates, doors, doorways, beginnings, and endings. The second month was named Februarius for Februus, the god of purification. Martius, formerly the first month, was now third month, and all the other months moved back with it. Thus, September, "the seventh month," now comes ninth.
So all the month names now had versions of their current names, except Quintilis and Sextilis, which Julius Caesar and Caesar Augustus renamed after themselves around the beginning of the Common Era.
Now you know. And knowing is half the battle.