Emperor Palpatine's first name, if it exists, is a closely guarded secret. No official sources provide any name other than "Palpatine," although an early draft of The Phantom Menace Visual Dictionary gave his first name as "Ethril."
Lucasfilm content management director Steve Sansweet stated in 2003 that there are many cultures in the Star Wars universe and some of them may not use a first and last name, just as some people in our own universe only go by a single name. Other citizens of Palpatine's home planet Naboo, such as Padmé Naberrie and Sio Bibble, have both first and last names; but it is possible that different parts of the planet have different naming customs.
The absence of a canonical first name for Emperor Palpatine has not stopped fans from speculating. The most popular name among fans is "Cos Palpatine." The name "Cos" comes from an early draft of Episode IV: A New Hope in which Lucas named the Palpatine-like figure "Cos Dashit." Another popular first name is "Dantius," but that has even more dubious origins: it comes from the website SuperShadow, which claims to present insider information about Episodes VII, VIII and IX.
Episode I: The Phantom Menace produced two even more unlikely theories about Palpatine's first name. The first comes from a piece from the movie's soundtrack entitled "Augie's Great Municipal Band." Although "Augie" was later identified as a Gungan named Augara Jowil, some fans proposed that it referred to Palpatine and adopted the name "Augustus." Finally, some fans have jokingly suggested that Palpatine's first name is Frank, based on the line, "I must be frank, Your Majesty."
If Palpatine really does have a first name, the most likely explanation for keeping it under wraps is to increase the sense of mystery about the character. Another part of the Star Wars universe, the name and origins of Yoda's species, has been kept secret to much the same effect.