Don't you know you're supposed to say "Pet Shop Boys" without the definite article—not "the Pet Shop Boys"?

Neil and Chris have themselves referred to "the Pet Shop Boys" on numerous occasions onstage and in interviews. Besides, I seem to recall a song titled "We're the Pet Shop Boys" (my emphasis). I know our musical heroes didn't write it, but they did cover it. Twice, no less. And if it's good enough for them, it's good enough for me.

Here's the rule I generally follow: if it "feels right" for me not to use "the," I don't. But if it doesn't "feel right," I go ahead and use it. It just seems the natural thing to do.