If "i" wasn't called "imaginary" I don't know if anyone would find it weird when it appeared in physics.

In many ways i is as weird as negative numbers, irrational numbers, and transcendental numbers. But we're somehow ok with all of those.

(By the way, I don't mean to imply Scott Aaronson finds complex numbers weird. He's just wondering why not other systems, and even mentions quaternions as an alternative — which could be called weird in their own right... So in a sense I'm attacking a straw man.)