I know I use a pen-name online for a multitude of reasons. My last name is the product of a mis-typing of an already very uncommon last name, so there are roughly 25 people in the world with the same last name as me. None share my first name. Finding me would be so easy it's not even funny should people know my real name, haha. As I've dealt with some really creepy people in the past it's partly a safety issue. It's also a way to make it harder for people I know irl to find my stuff should I want it hidden.
I also just identify with my pen name (Ethan Epiale) a lot more. Couldn't really explain why, I just do. It feels more like me, and thus works really well for my personal creative endeavors. : )
I do worry about the future and how I'm going to deal with financial stuff when I get there. I'm not sure there are many effective ways to keep your name off financial transactions, and that's kind of an issue. >_>