The formations have been given names such as Rooster Butte, Setting Hen Butte, and Balanced Rock/Lady in a Tub by locals. Unfortunately, I am not sure I was able to find some of the rock formations as named.
The Valley of the Gods is a very popular filming location because of its classic "western" look. Filming projects include still shots and moving film for commercial ads, major motion pictures, promotions for recreational events such as the Marlboro Adventure team and hot air balloon rides and even background shots for a Play Station game.
The Navajo interpretation of Valley of the Gods formations: "Rock formations are places of power in which spirits reside, and the formations in Valley of the Gods are some of the most distinctive. These imposing monoliths are Navajo warriors frozen in stone, who can be appealed to for protection. They are guardians whose power and strength aid young servicemen going to war." (From Sacred Land Sacred View by Dr. Robert S. McPherson, Brigham Young University.)
There is a small cavern at the base of the famously red cliffs running along the north side of the valley provided the location for a helicopter to land in Airwolf (a 1980s TV series) making the spot a notorious location of speculation.
The beautiful Cedar Mesa sandstone monoliths, pinnacles, and other geological features of this area are known as a Miniature Monument Valley. These sandstone sentinels were eroded by wind and water over eons of time.