The Gunners - that is the nickname of the club, which it has had since the 19th century.
It is also known as
The Arsenal and
Woolwich Arsenal
One name suggested, that didn't happen was Fulham Arsenal
To clarify...
Woolwich Arsenal was the name adopted by the club when it became a professional side in the 19th century, two years before it joined the league. Although the club did not play in Woolwich (it played in Plumstead) Woolwich Arsenal (the armaments factory) was the source of the fan base and many of the players.
Today, clubs that have a fixation about Arsenal, still call the club Woolwich Arsenal, to stress that they moved from Kent to north London in 1913.
The Arsenal, was the name adopted by the club in 1913 when they moved. Calling a club "The" was not unique - there was also a club at the time called "The Wednesday" who later became Sheffield Wednesday.
The Arsenal changed their name to Arsenal around 1925 when Herbert Chapman was manager.
In 1910 Woolwich Arsenal went into liquidation, and were bought by Henry Norris the owner of Fulham FC. Norris tried to amalgamate the clubs and call the new club Fulham Arsenal, but that plan was rejected by the Football League.
The story of the demise and rebirth of Woolwich Arsenal is told in the book "Making the Arsenal" which is available via Amazon.
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Woolwich Arsenal FC was the name adopted by Royal Arsenal on becoming a professional club.
In 1913 Woolwich Arsenal moved to Highbury in North London and kept the old name until April 1914 when they changed to The Arsenal. This name was continued until 1919 when the name was changed to Arsenal - long before Chapman joined the club. Confirmation of these changes can be seen in surviving copies of the programmes issued for the game. The club made no special announcement each time - just change the name on the masthead of the programme. Companies House records concur.