Honestly, I thought the same thing upon reading the name. I'm aware of the reference to Antoni Gaudí, but having the name sound so close to gaudy seems a bit unfortunate. Surely they must've had better options? Then again I don't know how these sorts of names get decided anymore.
'Gaudi' is properly pronounced Ga-oo-DEE in his native Catalan, whereas (in my dialect) 'gaudy' is pronounced GAW-dee. My guess is Intel wasn't even thinking about 'gaudy' because they were thinking about "famous architects" or whatever the naming pool was. Although, I had heard that the 'gaudy' came from the architect's name because of what people thought of his work. (I'm not sure this is correct, it was just my first introduction to the word.)