In most European countries, there are very few instances when you are allowed to legally change your name. In fact, since married couples in Spain usually keep their last name unchanged, it's even less common here than in other European countries.
This means that stories like this one, where a man legally named "Lord Jesus Christ" got hit by a car are somewhat confusing to Spaniards.
Not to mention the fact that if someone named Señor Jesús Cristo was hit by a car in Spain, it probably wouldn't make El Pais.
I've always wondered why Jesús is such a common first name in Spanish culture (and not so much in other parts of Europe). My pet theory is that it came from the tradition of calling your sons "Mohammed" back when Spain was Muslim. When the reconquista was happening, people realized which which way the wind was blowing and switched to Jesús instead.