Language is full of its little quirks, and English is one of the most quirky of the lot, which makes hard for non-speakers to learn.
My uncle orignally heard the following on a radio show broadcast on the BBC World Service meant to help non-English speakers learn English. As a British-born Israeli he found it interesting enough to pass on to me.
Most roads have two-part names. The first part can be anything really. The second part is some kind of a reference to what kind of thoroughfare is being described, such as:
Now let's look at pronunciation. When pronouncing any road name of the above model, the accent is on the last part of the name, such as:
Penny Lane
Pennsylvania Avenue
Tottenham Court Road
There is one common ending-word which is an exception to this rule: Street. When talking about streets, the accent falls on the first part, such as:
Downing Street
Sesame Street
Wall Street
Gritchka informs me that the reason for this difference is that streets (Oxford Street, for example) used to be hyphenated (Oxford-street). Fowler has suggested a return to the hyphen-form, to keep language agreeing. But that's not going to happen; I presume we'll have to carry on confusing foreigners instead.
For more on roads and streets, see The difference between a road and a street.