Bury is one of five football clubs whose names are also words in their own right - the verb "to bury", of course, meaning to put something underground.

The others are:

READING (as in, "are you reading that paper you're sitting on?")
HULL (part of a ship)
YORK (cricketing term, meaning to bowl so the ball squeezes between the ground and the bottom of the bat)
And of course, BOLTON, which means "to be relegated the season after promotion" (as in, "if they don't pull their finger out they'll Bolton again…")