Named because the leaf pods resemble the pouches which were carried by shepherds. (When I was a kid, I was told it was because shepherds were poor, and if you opened these pods, they were empty - like a shepherd's purse).
Other less common names include Shepherd's Heart, Pick Pocket, Mother's Heart, Lady's Purse, Witches' Pouches and Saint James Weed. It is used as an herbal blood coagulant and is believed to have diuretic properties as well. I just think it's pretty.