I agree with Chandra - let his personality or actions choose a name. My pali is Thumper, because the first night we had him, he jumped out of his stall (4')
Hahaha before I even opened this thread, just saw the title, I said...."Anything but Sunny!!!" Because there's this guy at the barn I board my big horse, he keeps getting palomino after palomino and they all have some variation of the name Sunny. Son, Sun, Sunny, Golden Sun, Sunny boy...when he got the last one and said it came with the name Sunny, I said gosh darnit we're calling that one El Sol!!! (spanish for sun) LOL
How ironic.
Anyways, a picture would help to find a name that fits him.
I do not like to change a horse's name because that is what they're used to.
But if you HAVE to, it's best to choose a name that "sounds" like Sonny so he'll know his name.
They go by the sound of their name, not the actual name. I have a mare Lady and got another mare called Lady. So I called the new mare Lacy and she knew her name because they sounded the same to her.