I never really did like superheroes with "captain" in their names. The exception being "Captain America" because just naming him "America" would be stupid.
Anyway, I like the name Shazam better. Kinda' keeps with the fact that he's a child in its whimsy, and it's more fun to say. Also more distinct. A lot of people I know (not really comic book fans, for the record) assume he's a Marvel character.