This is where they moved the Chicago Pile-1 after they decided it might be a bad idea to run highly experimental nuclear reactions right in the middle of one of the most populous cities of the United States.
So more precisely, it is a continuation of the Metallurgical Laboratory.
Ciro Santilli maintains that they chose the site because the name is so cool. Wikipedia says it is derived from the Forest of Argonne, maybe it even shared etymology with the element argon.
Discovering them was not so easy because they don't form chemical compounds. So they exist only as gases. And Helium disperses off into space.
Argon was the first to be found by density considerations because it is so abundant on Earth's atmosphere (~1%): Argon is abundant on Earth's atmosphere because it comes from the decay of Potassium-40.