David and Goliath comes from the Bible.
D-day was the name used for the day the allies attacked the Germans in France during the Second World War.
Send someone to Coventry- there are various theories: http://www.worldwidewords.org/qa/qa-cov1.htm
Catch 22- The tile of a novel by Joseph Heller, who coined the term and the idea
Why do we still use them? Just because something's old, it doesn't follow that it's out of date- many expressions have very old roots.