Kemo Sabe was the Lone Ranger's nickname, given to him by his sidekick Tonto.
What does it mean?
According to Dave Barry, the world's foremost authority on just about everything, it was the name of a boys' summer camp near Detroit. When the Lone Ranger show was first aired in 1933, the camp was owned by the uncle of the program's director. It was said to mean "trusted friend" or "trusty scout" or something to that effect.
That's far from the final word on the subject. In the Navajo language, a Kemo Sabe is a soggy bush. Read into that what you will, but it's certainly not a term of endearment. The Navajo root is plausible, particularly if the show's creators didn't know what it meant. The show was set in the American Southwest, home to a sizable Navajo population whose language is nearly indecipherable to anyone not native to it (as the Axis powers learned during World War II). Some clever Navajo might've pulled a fast one on the show's writers, calling the Great White Hero something decidedly unheroic and knowing he'd never be caught.
But there is an even simpler explanation. Tonto is a Spanish word translating roughly as "fool." These guys were supposed to be friends, right? If your friend called you a fool (not in anger, but in jest), wouldn't you call him a fool back? My high school Spanish teacher told the class that Tonto was really saying Qui no sabe. The Lone Ranger was the one "who doesn't know."
Tonto and the Lone Ranger were insulting each other's intelligence.