[Quiet Man Cometh]

In the original Hellraiser film he was just called "lead Cenobite" but fans dubbed him "Pinhead" and Clive Barker hated the name because it was so undignified sounding for the character. However, it stuck, and you see it in the credits of later films.

The book reads thus:

"Whatever torments he had planned for these last victims [...] it would be worsened by orders of magnitude if any of them dared utter that irreverent nickname Pinhead."

I've seen Hellraiser, Hellraiser 2 (the one with the insane asylum I think?), one that involved a nightclub, and Hellraiser 4: Bloodlines.