I would write under a pen name as my last name has recently become very famous by another author that writes fantasy. Kind of like it's a good idea not to use your real name if you happen to have a last name of King and write horror.
I think my real name is boring and doesn't stand out enough. I do like my initials and last name together though...but I feel even my last name is too common. Ugh. I don't want to, but if I ever think of trying to get my stuff published I may just to make myself more memorable (though hopefully the books should do that!)
I don't know that this is such a bad thing. Your horror books would end up on the shelf right next to Stephen King, if that was also your last name, and a whole lot of people buying Stephen King books would see them.
