While the more blasphemous Cantopop usage may be more common in pop culture today, the Four Heavenly Kings were originally a part of Buddhist mythology. Here, I give their original Sanskrit names, followed by their modern Japanese names.

VAISHRAVANA (Bishamonten), Guardian of the North. He is the chief of the Guardian Kings, the supreme protector of the state, and presides over winter. He is sometimes referred to as the "Black Warrior," and his army consists of kimnaras (birdlike dancers) and yakshas (flesh-eating demons), who fight on his behalf to defend the Dharma. He is depicted as a blue-skinned warrior with a crown, toting a lance and stupa.

DHRITARASHTRA (Jikokuten), Guardian of the East. The "maintainer of the kingdom," he is also the guardian of the spring, and his army consists of ganadharvas (musicians) and pisacas (vampires). He is depicted as a green-skinned warrior carrying a sword.

VIRUDHAKA (Zojoten), Guardian of the South. "He who enlarges the kingdom." He presides over the summer, and his army consists of kumbhandas (horse-like demons with huge scrotums) and pretas (ghosts). He is depicted as a blue-skinned warrior carrying a sword.

VIRUPAKSHA (Komokuten), Guardian of the West. "He who sees all" and presides over the autumn. His army consists of nagas (sea serpents) and putanas (ghosts). He is depicted as a yellow-skinned warrior with a trident.

Source: http://campross.crosswinds.net/ShuteiMandala/4kings.html