I might be wrong, but I believe Sheffield Wednesday and Sheffield United shared a stadium, and one played on Saturday and the other played on Wednesday.
Ah, the power of Wikipedia:
The club was initially a cricket team named The Wednesday Cricket Club after the day of the week when they played their matches. The footballing side of the club was established to keep the team together and fit during the winter months.
http://en.wikipedia.org/wiki/History_of_Sheffield_Wednesday_F.C.Oh yeah, and maybe the name wasn't so stupid when it was named; "SWFC was born on the evening of Wednesday 4 September 1867"
Actually, that's when the football club was named; the cricket club had the name before that.