Thane is so cool! It's different but not too much so. The only thing is it reminds me of "th-" words (the, they, there, than) which really isn't that big of a deal... I'm not sure why I thought of that.
The only real reason I wouldn't use it is because I'm not sure how
Thane would be perceived as a name in Scotland. It might seem laughable (similar to using the name
Prince). Otherwise, I like it, and it's nice with
Delilah.