In Tolkien's world, there are quite a few "magical" beasts that have proper names: dragons for example, like Smaug. One can assume that their names are known either because their creator was still around at that time (and thus could tell their name) or because the creature can speak (like Smaug).
What about Shelob however? She is said to be the last daughter of Ungoliant, and was in her lair even before Sauron got to Mordor, so her origins are long forgotten. She also doesn't seem to be very talkative. And from her behavior as presented by orcs, it doesn't seem like she would engage in conversations even with them, assuming she could talk.
Yet, we can quote Shagrat in the chapter "The choices of master Samwise":
"But Shelob was on the go."
"Nothing gets by Shelob when she's on the hunt."
How can Shagrat possibly know Shelob's name?
Answer
From Letter 144:
Shelob (English representing C.S 'she-lob' = female spider) is a translation of Elvish Ungol 'spider'.
'Shelob' is therefore not, strictly speaking, a name, but rather a description. People aren't calling her by name, they're calling her "the Spider".
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