"'Wormwood’s a nice name,' said the nun, remembering her classics. 'Or Damien. Damien’s very popular.'"

Damien is the young Antichrist in the cult horror classic The Omen. The son of the devil is switched with the baby of a prominent American diplomat, and raised by a demonic nanny and a hound of hell. Good Omens parodies all these elements.

Damian comes from the ancient Greek for "tamer".  St Damian was a 3rd century Christian martyr, making the name a fine choice for a nun.

Wormwood is mentioned in the book of Revelation as an angel or star that falls from the skies before the horsemen ride.  He also appears as a demon in C.S. Lewis's religious novel The Screwtape Letters, perhaps the classic referred to here.