Connor's name is originated in Celtic/Gaelic and means "wise", "knowledgeable". Now that we know a little about the grown up Connor, the name makes a lot more sense (if you take that lead), indicating that Connor will have to *know* to make a right decision eventually, when the time would come, regarding his father, his relationship with his father, etc.
A few things follow Angel everywhere, regardless to how much his character changes over the years, and one of those things is his strong connection to his roots, his Irish heritage. It has been expressed randomly through both shows, BtVS and AtS in things such as the Claddagh ring (Celtic symbol of love and devotion) he gave Buffy, the *Irish* church he dreamt their wedding in (note the cross), even the *Irish* character of Doyle played a certain part in it.
He gave his son an Irish name, a traditional Irish name, not of English origin, but of Gaelic origin. By giving the child the name "Connor", he basically did what every father wants to do with his son and Angel thought he'd never get to do - continue his heritage. The expression on his face in "A New World", when Connor forbade him to call him 'Connor', saying his name was Steven, and he, astonished, remarked the name wasn't Irish pretty much said it all. Holtz not only robbed Angel of his son and his son of the most private and cherished thing his true father had given him - his name, he also, partly, robbed Angel of the possibility to continue that heritage he began engraving in Connor by giving him an Irish name.
For more ado, check "A New World".
Also, another comment was made in "the Miracle Child", concerning Connor's name: the boy has two names now: "Steven" and "Connor", just like his father has two names: "Angelus" and "Angel". "Angelus" stands for the evil and monstrous side of Angel, while "Angel" stands for the good and soulful side. A similar division can be done to Connor - "Steven" is, of course, not *evil*, but it is the side that is full of vengeance and hatred towards his true father, the side that was raised by Holtz *to* hate Angel. On other hand, Connor is the name Angel had given his son, this name, for now, belongs to Angel's baby son, who returned his father the same love he had given him, it's the name the teenage Connor still has to claim, to be, at least in some sense, that child again.