One of them, the second in rank after the Lord of the Nazgûl himself, was named Khamûl, and also known as the Black Easterling. This is the only one of the nine Nazgûl explicitly named by Tolkien.
This may come as a surprise if you've come across one of the many sources that list a set of names of the other eight: Murazor (the Witch-king himself), Dwar, Ji Indur, Akhorahil, Hoarmurath, Adunaphel, Ren and Uvatha. These names are common across the Web, and often have detailed biographies to go with them. They're also consistent with what Tolkien had to say about the origins of the Nazgûl: in the Akallabêth it is stated '...among those whom he ensnared with the Nine Rings three were great lords of Númenórean race', and indeed three of these names are Númenórean in form: Murazor, Akhorahil and Adunaphel.
None of these eight names, though, have their origins in Tolkien's own work. Instead, they come from a series of role-playing and trading card games produced by Iron Crown Enterprises. The names of Murazor, Dwar and the rest emerged from the unavoidable need for these games to develop and expand Tolkien's universe to meet the needs of the gaming fraternity. The games' popularity accounts for the regular appearance of the names, to the extent that they're now frequently presented as the 'true' names of the remaining eight Nazgûl.
Some readers have even suggested that these names are so widely accepted that they should be considered the de facto names for the eight otherwise unnamed Ringwraiths. On a personal level, or in the context of the games that spawned the names, this isn't an unreasonable approach: if Tolkien never told us the name of, say, the Witch-king, there seems little obvious harm in imagining that his name was originally Murazor (or anything else, for that matter). Things become a little more problematic where the names are published without explanation: we receive plenty of e-mail from puzzled readers trying to work out which of Tolkien's books the names come from (hence this entry in the FAQ).
As for The Encyclopedia of Arda, this site is very specifically aimed at exploring Tolkien's own works, so it really isn't appropriate to include names or biographical details that we know did not come from Tolkien himself. Indeed, the same principle applies to characters who appear only in the recent movies, so it's not our intention to provide entries for (say) Hoarmurath, Uvatha or - for that matter - Lurtz from Peter Jackson's movie of The Fellowship of the Ring.