Your first guess is correct: this is just users being (attempting to be?) funny.
I assume it all started with this question, specifically Kevin's response, which says that there is no feature specifically in place to limit people adding certain symbols like psi (Ψ ) to their user name. He basically dares us to do so, I mean come on, what goes through your mind when you read this:
If you want to pretend to be one of the cool kids, whatever; it doesn't affect anything.
I actually thought about doing it myself, but then I realized it was kind of lame. Score 1 for laziness.
Sadly, of course, you still can't add a diamond to your user name. Michael Mrozek's insightful comment to the linked question spares the rest of us from having to try that for ourselves.