There are 2 sides to this. Celeb names are concidered their TM. So if you intend to use them in bad faith, they are not worth it. If you intend to use them in good faith and develop a legitimate fan site, then it is worth it. I have a feeling you are asking on the behalf of monetary gain, and I think you know what that means.
Now, with dead people, there was a recent ruling where a dead person's name and likeness were ruled public domain. This means there is no TM or copyright problems. But this is only in restricted areas of unforcement. I believe it was Cali. How that translates to domains, I do not know. But there are certain requirements that need to be met in order to claim public domain of a famous dead celeb. The case was over Marylin Monroe, and I also believe it was becuase she did not assign TM and copyrights to a next of kin.