My father, when he was making a living as a gigging musician in the 50s, used a stage name because no one ever got his last name right when introducing the band.
I’ve always used my given name, not a stage name, because I just feel like me when I’m performing - not a different persona.
Band names seem to need to happen because the group needs a name beyond it’s members (ABBA and Peter, Paul and Mary not withstanding). So I have my share of those.
Web services demand noms-du-net since they don’t seem keen on dealing with the crazy reality of human given names. So I have too many of those - which really don’t like.
Domain names are really the new frontier in naming! I do have a nice one: “electric.kitchen” - While the name of my band for the last year - since the band is in flux - I’ve decided it’s too good a domain name - and I’ll just keep it and use it as a meta-project under which to hang all my work.