There are hints in the book of Revelation itself that seem to explain the significance of Christ's unknown name.
In the promises to the seven churches we find mention of secret names. To "him that overcometh" (KJV) or "the one who conquerors" (ESV) the promises are made. To the church in Pergamum the promise is made:
To the one who conquers I will give some of the hidden manna, and I will give him a white stone, with a new name written on the stone that no one knows except the one who receives it. (Rev. 2:17, ESV, emphasis added)
When speaking to the Laodiceans, the Christ of Revelation includes himself with the conquerors:
The one who conquers, I will grant him to sit with me on my throne, as I also conquered and sat down with my Father on his throne. (Rev. 3:21, ESV, emphasis added)
The church of Philadelphia is told that Jesus himself has a new name:
The one who conquers, I will make him a pillar in the temple of my God. Never shall he go out of it, and I will write on him the name of my God, and the name of the city of my God, the new Jerusalem, which comes down from my God out of heaven, and my own new name. (Rev. 3:12, ESV, emphasis added)
The line of reasoning is: conquerors (overcomers) receive a new name, Jesus is a conqueror, therefore Jesus receives a new name. The Christian conquerors were told that 'no one knows the name except the one who receives it,' however, the one who gives them the name (Jesus) must be excepted. He knows the name, as well as the one who receives it. In the case of Jesus himself, the Father knows the new name which Jesus has received from him.
The giving of a new name is elsewhere recorded in the Bible to signify a change in one's life. Thus, Abram's name was changed to Abraham (Gen. 16:5), Jacob's name was changed to Israel (Gen. 32:28), and Simon's name was changed to Peter (Matt. 16:17-18). A new name relates to the character of the person receiving it. In the case of Jesus, his new name was bestowed post-resurrection, and the individual Christian is given a new name post-mortem. The names which Jesus and his followers receive, however, are like names known only within the family. They are never given out publicly.
Thus, the victorious rider of Revelation 19:12 (ESV) "has a name written that no one knows but himself."