Prabhupāda: "Self-born." He is not born of ordinary mother and father. There was a lotus from the Viṣṇu, and in that lotus he was born. Therefore he is called Svayaṁbhuḥ, "self-born."
Allen Ginsberg: I knew a Naga sādhu in Menakanika Ghāṭa named Śaṁbhu-bhakti Baba.
Prabhupāda: Śaṁbhu is another name of Lord Śiva, Śaṁbhu. Svayaṁbhur nāradaḥ śaṁbhuḥ (SB 6.3.20). He is called Svayaṁbhuḥ, and Śiva is called Śaṁbhu. Vaiṣṇavānām yathā śaṁbhuḥ. Svayaṁbhur nāradaḥ śaṁbhuḥ kumārāḥ kapilo manuḥ (SB 6.3.20). Kumārāḥ. There is a sampradāya from Kumāra, four Kumāras, brahmacārīs. They were sons of Brahmā. When they were born, Lord Brahmā said that "You now make, marry and produce. We want population." In the creation, in the beginning. So they refused. "Oh, we are not going to marry. We shall remain brahmacārī, devotee." Then Lord Brahmā was angry. "Oh, you are refusing your father's order?" So from when he was angry, his eyes became red. From that, Śiva was born. Therefore his name is Rudra. Rudra means anger. So when Lord Śiva becomes angry, the whole thing is finished.