the rock band Led Zeppelin. The clues point to the titles of their albums.
Four times they proclaimed their name,
the first four albums are simply titled Led Zeppelin I, II, III and IV
Spare the Romans and it was the same.
but for the number, each album has the same title (thanks to DasBeasto)
Diverging, in a sacred abode they prayed,
Houses of the Holy
Afterwards some real ideas they sprayed.
Despite their fame, they stressed their existence
Before using doors in the wrong sense.
In Through the Out Door
For the next, they chose a tail for the title
Which was poetic for it was their final.
Coda ("coda", meaning "tail" in Italian, is a musical term designating the closing section of a piece)
Luminous = L.E.D. Balloon = Zeppelin :D