In the books, TV show, and radio show, Arthur Dent expresses surprise when hearing Slartibartfast say his name.
Was there a reason for this?
I don't remember Arthur expressing any surprise when hearing any other names.
It's supposed to sound rude. Adams wanted the character to have an ancient sadness about something, and eventually decided that the source of his sadness should be his name. So he tried to come up with a name that sounded extremely rude, but was still able to be broadcast. In the book of the original scripts, he notes that he started out with "PHARTIPHUCKBORLZ" (which is obviously not suitable for broadcast) and mucked around with the syllables until he ended up with Slartibartfast.
I believe it was a joke played on the voice actors in the original radio show.
The character didn't mention his name for the better part of the broadcast, but everyone already knew it, because it was mentioned in every line of the script. So Simon Jones actually had to feign surprise when Richard Vernon said it out loud for the first time.
I got this from Neil Gaiman's book, Don't Panic, but I can't seem to find an online version of it, so I don't have a link.
I remembered wrong; what really happened is that it was done to annoy Geoffrey Perkins' secretary, because she had to type the name over and over. So this is not really the answer to the question and I feel you've accepted the wrong answer. See also apsillers' comment.
I always thought he was stiffling a laugh rather than being suprised.
As you pointed out, after everything that has happened it would be odd that he was that suprised at a name like that.
I always took it as an incredulous reaction rather than a surprised one.
Apparently the character was named specifically to annoy one of the script duplicators in the typing pool (anyone else old enough to have seen one of those?!) who kept complaining about the odd names, and was called something far more fruity on the first draft of that episode - "Phartiphuckborlz".