Minor addendum: I had heard from several civil rights leaders from the '60s that the name Ku Klux Klan was adapted from the sequence of sounds made by loading and cocking a bolt-action rifle:

  1. Ku - the sound of lifting the bolt
  2. Klux - the sound of pulling the bolt back and ejecting the spent cartridge
  3. Klan - the sound of (in one motion) chambering a round by sliding the bolt forward and slapping the bolt down to cock and lock the rifle.

Of course, this may then be a myth. It also might co-exist with the explanation offered by eldritch, above, who appears to have better information than I.