(This post began as a comment on an in-house forum for Blogjobbers, and then I realized that it was long enough to be a blog post instead...so here it is.)
I put some thought into choosing a screen name that could be the legal name of someone in my demographic group, but at the time wasn't being used on the Internet. I've kept it for branding purposes, but can offer some insight into why people change screen names:
1. Right away, the combination of "Priscilla" and "King" generated lots of search engine confusion between things I'd written and things about Elvis Presley's widow. I never was a real Elvis fan, and some Elvis fans found that disappointing.
2. Eventually, so many people claimed online that "Priscilla King" was their actual legal name (in which case I would've advised them not to use it) that Google + actually suggested that we form a "Circle." There are now about 200 people using this name online. It's my business name, not my legal name, in real life, but it was my by-line first. If you're not the first writer to use a name, even if you are the living writer known as Kathleen Norris, you might want to pick a name that won't be confused with, say, the deceased writer known as Kathleen Norris. (Bollywood, unlike Hollywood, allows two different living actresses to be known as Nigar Khan...endless confusion, and I'm glad Hollywood demands that actors choose unique names.)
3. When I moved to Live Journal, I wanted to avoid being hacked or harassed by people from AC, so on LJ my screen name is "Cat Sanctuary." (LJ's system does not distinguish the names of sites from the names of writers--if I ever make the time to set up the PrisZombie site it will generate a screen name like "Pris Zombie.")
4. Also, some sites demand shorter names, names with symbol characters in them, or names that look different from names other people have already registered. Hirewriters changed my screen name to "PriscillaKi" and Twitter changed it to "5PriscillaKing."
5. Also, there are people who want to be branded with completely different types of content. "Priscilla King" is an Aunt and writes Family-Friendly Content. If I wanted to write porn, I'd use a different name. For some people the branding limits of their screen names are narrower. Some people who post official job-related content on sites like Linked In, under the names they use at work, are under orders to use different names if they want to post unofficial, personal content.
6. Some people who've been banned from one site and not found another one have been known to set up separate e-mail accounts and screen names in order to continue using the site from which they were banned. Meh. If they've learned a lesson about plagiarism, flames, insults, etc., I suppose this might be good. If they've been cheated and been banned due to payment disputes, it'd do more good if they moved to another site fast and led others away from the site that's been cheating writers.
7. Some people don't want their employers or co-workers to know that they write for the'Net at all. I've heard of people being shown a piece of their own writing that a real-world acquaintance thought sounded congenial with them, and adopting a different screen name forthwith. Living in a small town, I didn't admit any connection between my real-world identity and "Priscilla King" for several years, after which it took a few more years for people's reactions to die down.
For those who want to receive any kind of benefits for writing, there are obvious advantages to keeping one screen name for everything you post online. Any time you change your screen name, even by adding or subtracting an initial or symbol, you risk losing some fans--or paying clients--who follow you via search engines. Despite the valid reasons to change screen names mentioned above, there's a clear consensus that it's best to keep a screen name as long as possible.