Chess in another example. If memory serves, "Checkmate" was derived from the Arabic "Sheikh maat" (the Sheikh has died).
Edit: The word chess itself also derives from shah. According to Wiktionary [0], it comes from Old French eschés, the plural of eschec, which comes from Vulgar Latin (scaccus* being the unattested reconstruction), which comes from Arabic shah, which finally comes from Farsi shah.