Rhiannon is the name of a Welsh moon goddess, sometimes also called "Rigantona", meaning "Great Queen". In Welsh literature, she was the daughter of the king of the Underworld, said to have been exceptionally beautiful as well as being a fine horsewoman.
Among certain religious types, "Rhiannon" has erroneously been thought to mean "witch", and the name has suffered a certain stigma because of that. In fact, I've even seen one supermarket-brand baby name book which defined "Rhiannon" as meaning simply "witch", with no further explanation.
Not that there's anything uncool about a name which means "witch" -- quite the contrary, actually. But there's more to Rhiannon than that.