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It's just how the noun is. Certain nouns pretty much must have "the" in front of them in a sentence to sound right. Example: "United States of America". Say "Pennsylvania is a state in United States of America". You need to put "the" in front of the name of the country, or it just doesn't sound right. Now, let's try with "Canada": "The Northern Territories (is/are, that's a whole new argument) a province in Canada." No "the" is necessary.
And yes, some bands just have "The" tacked on front of the name. "The Beatles" is a great example, and Led Zeppelin is a good counterexample. The only time you'd tack "the" on the front of Led Zeppelin is if you were describing an actualy, physical zeppelin made of lead. I don't think it's a matter of "right" or "wrong", it's a matter of does everyone understand what you're talking about?
So, why is there "the" tacked on the front of random place and band names? Because that's the way its always been, that's what people expect, and that's what people understand.
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