'Sussex', 'Essex', 'Wessex' - What is the historical significance of places ending in 'sex'?

'Sex' is Saxons.

After Roman administration collapsed in Britain (during the fifth century AD), the island splintered into smaller kingdoms. At the same time as this was happening, a lot of people were moving around Europe, including a significant number of people from the northwestern coast of Germany who settled in England and blended with the local population.

By the late sixth century (probably; written sources are almost nonexistant from this period) some of the new political dynasties in south east Britain had decided to trace their ancestry back to the German side of their families (rather than their local, Romano-British roots), and many of them started calling themselves 'Saxons' (the Saxons were a famous tribe in Germany). It's unclear whether these people were actually the descendants of Saxon immigrants, or if they chose to call themselves 'Saxons' because that they wanted to invent a connection between their own mixed heritage and a famous historical (or powerful contemporary) people across the channel. Ethnic identity is complicated and difficult to untangle even when we have people writing about it, and it's even harder to discuss in this case because we have to piece things together from archaeological evidence.

But regardless of why these people began to call themselves Saxons, the land they controlled started to be named after this new British identity. Wessex is 'West Saxons', Sussex 'South Saxons', and Essex 'East Saxons'. There's also Middlesex, which is self-explaining.

In other parts of England, the land was also named after the new peoples and kingdoms that were forming. Norfolk is 'North People', amd Suffolk 'South People'. East Anglia (the larger region that contains both counties) is named after the Angles, another German people-group that early medieval English people claimed descent from.