Here's a discussion of what some of the names may mean. Where possible, the official Chinese names have been included with proper pinyin, Wade-Giles, and/or Yale spellings. Much thanks to Randall M! Gee, Dennis Lee, and others for their help.
"Li" appears twice, as Capt. Li Shang's last name and also in Mulan's mother's name. Li is a common Chinese surname--in fact, it is now believed to be the most common surname in China, even more common than Zhang (Chang). "Li" means "plum."
The character for Shang's personal name (Shang) means "to soar."
In classical Chinese, these two characters together are a single word, referring to the chieftain of the Huns. The first character (on the left) is pronounced as Shan only when it is associated with the character Yu. This character also be pronounced as "ch'an" when referring to the Hun leader, and was a common term during the Han dynasty.
As a surname, the first character is pronounced as "shan." (In pinyin or Wade-Giles, it's written as "shan.") Today, the word is usually pronounced as "dan" as a word. (In Wade-Giles, it's written "tan" and in pinyin it's "dan.") Its meanings aren't particularly relevant here.
Confused? So am I. The best analogy I can come up with now is the English word "read." This word can be pronounced two ways (one rhyming with "red" and the other with "reed"), and the different pronunciations have different meanings.
It just means "cricket."
His family name is, of course, the same as Mulan's. His personal name means "a wooden bow."
The "Ah" is just something that goes in front of a name. (From what I understand it's a bit like calling a John "Johnny" or a Bill "Billy.") "Yao" is his surname. It's a real Chinese surname. One of the legendary sage kings had it too. It can also mean high, eminent, or lofty.
"Jin" is his family name. It's a real Chinese family name. It also means "gold," or "metal," or "wealth," or a bunch of other things. "Bao" can mean "treasure" or "precious; valuable" or "respectable; honorable."
It means "peace; repose; serenity; tranquility."
When Shang asked Mulan her name and she said "Hua Ping," the whole cinema broke into laughter, because "Hua Ping" actually means "Flower Vase." It's the same as in the Cantonese version but not as obvious a joke with the latter. It is so funny because in the modern Chinese language, "flower vase" is used to describe a girl who is only there as a decoration and has no substance.
The name Ping was also part of an amusing lawsuit.