I think it generally boils down to personal preference!
I work as a professional comic book artist, so it helps to use my real name as a handle on related things- however, I have an online pen name that's completely different for personal, non-comic book work, so if potential clients want to Google me, they're not bringing up irrelevant sites like a Tumblr with stupid pictures of my cat, etc! (Also, using a completely different pen name on seperate accounts does
mean that you can get away with that kinky porn comic
) However, you could also use your real name but change it somewhat- I work in a four-person studio, and all of us have somewhat-tweaked pen names - for example, one of our girls has a very distinctive surname, so to protect herself she uses her mother's maiden surname when publishing books and hiring herself out to clients, Fez is a nickname rather than my christian name, etc etc- even if you work through a publishing agent like we do, all you need to do is explain and they're very accepting of the idea. My agent has a number of authors that he works with who work entirely anonymously, so it's not as uncommon as you'd think!
On the other hand, I know plenty of professionals and hobbyists who work entirely under a pen name- so long as it's not a name you came up with when you were twelve and know you'll regret when you're thirty (come on, we've all had them), pen names can become just as much a real name to the people who know and follow your work as your real name can. I've got a number of friends who I met first online, and it takes some while to get used to calling them by their real names when we meet up at events!
Of course, some of us (like Mr Steele above me) are blessed with names that sound pretty badass in the first place- in which case, use it! Frankie Salmon, Vince Cable and Rusty Wolfe (all real people) are certainly names that you wouldn't forget if you bought or read comics by them!