My last name, and the last names of all four of my grandparents, have lead me to believe I am solidly of Western European descent. I also find it pretty funny that taking the first initial of each spells HOWL!
I typed each one into Ancestry's Surname Lookup and got the following results:
Name #1 - English and Scottish. #2 - Irish. #3 - English. #4 - English and French.
I stumbled across a neat feature of Irish Times that allows you to type in a surname and see a breakdown of which counties in Ireland were most heavily populated by your possible ancestors in the mid 19th century. Even though each of the above names aren't necessarily Irish, I gave it a whirl...and selected the top county for each name.
Name #1 - Donegal (11 households). #2 - Donegal (951 households). #3 - Galway (55 households). #4 - Cork (205 households).
I find the results of Name #1 to be especially surprising because of the insignificant number of families living in Ireland at this time (really, only 11?). This is about the time I have record of my direct ancestor with this last name immigrating to America. I haven't yet attempted any research beyond the United States, but this might be an interesting international place to start.
 After thinking about this for a little while longer I tried a different spelling of Name #1 that has come up in my research, and sure enough spelling #2 of name #1 (confusing yet?) resulted in 171 families in Donegal.
I think I know where I should go on my next adventure.