Ő is just œ (oe), nothing crazy. Certainly not a scenario that would belong to the quirky category.
The only weird ones I can think of are the ones that end in -y. For example, Görgey. They're meant to be -i endings. They signify a noble lineage (or at least used to).
I guess "ch" might also show up every now and then too (it's just "cs", just like "ch" in English). For example, Széchényi.
Since this is a compsci forum to some extent, maybe I should also mention that the so-called Lanczos-interpolation is "actually" Lánczos. Took even me a while to pick up on that one! Thinking about it, I now see that it features a "cz", another letter (digraph) that is longer part of the alphabet.
Also note that Paul is a "translated" name. His actual name was Pál Erdős. He got lucky with that one, it's an easy swap. Edward Teller (Ede Teller) was the same way, and so was John (von) Neumann (János Neumann).
As a bonus trivia, the Hungarian name order is big endian, like the Japanese. So it would be "Erdős Pál", "Teller Ede", "Neumann János", and "Lánczos Kornél". Though just like with Japanese, I would not recommend trying to adhere to this order in most English speaking contexts.