There may be a nifty little function for this, but perhaps this would be easier:
$m = date('n');
$m_array = date('F', mktime(0,0,0,$m-$i,15,2011));//you could echo here, but may be handy to place in an array. Also the day (15) and year (2011) do not matter - I just picked 15 as it's a mid-number for months.
echo implode("<br />", $m_array);
The nice bit about this is the $m-$i. mktime understands month #3 (March) - 5 months.
current month of March will give March,Feb, Jan, Dec, Nov, Oct.
If you want the years as well, just set the current year: