No, this character isn't that popular here in germany either. Maybe he is in danmark, where the movie series (called Olsenbanden) actually comes from. I think i should elaborate on this nick a little more:
As said, Egon Olsen is a fictitious character. He's a kind of gangster boss albeit his gang is more like his family. Almost every film starts with him leaving the jail having a great plan for the next big coup. These plans are always very freaky but they do work...to a degree. At the end, he always goes back into jail, because some little detail in his plan didn't work out as expected. So much for the background...
Now we come to east- and west-germany: Back in the days, when there were two german states, the only show on east-german Television that a west-german (like me) could stand was Olsenbanden. I really enjoyed watching the movies, but most west-germans didn't watch east-german TV, partly because they couldn't receive it (too far away from the border), partly because it was awful...except for Olsenbanden.
It's the year 1991...i'm doing my military service, there is no east germany anymore and during the weekends, i'm playing Wings on my Commodore Amiga. Wings require you to fill out a flight roster when you start with your missions. In that roster, you have a forename and a surname...and my usual nick name at that time (caused by the fact that most games had very limited space for the name in the high scores) was just Bobo. But Bobo didn't work for Wings, so i had to make out something else...and the first thing that came to my mind was Egon Olsen.
And that all together is the reason, why i'm using this name...