I remember answering a question about what does ASMX stands for on ASP.NET forums a while back. The rumor is, it stands for active server module and the trailing x is actually a + rotated as it follows the same nomenclature to ASP+ (ASP.NET's former name).
In other news, in the MSDN service station column, Aaron Skonnard discusses Run ASMX without IIS i.e. using HTTP listener class in Whidbey to wrap the functionality of HTTP.sys and offer the functionality of a web service without having IIS installed. Pretty exciting to have apps offering HTTP services without a web server, can't wait!