I have 2.
I usually use the informal version of my first name with the first letter of my last name as here on Cake. On sites where that is already used I might append NZ which is the country code for New Zealand. Anyone with half an idea could link together my accounts in different places online.
For me that means I am aware that whatever I post can be traced back to me as a specific individual and so to some degree it ensures I behave nicely online. It also means I can be called out on anything I have posted, ever, so I have to be able to stand by what I have posted, and so I only post what I can stand by, if that makes sense.
My other persona is for my New Zealand specific adventure riding website and is only really used online on Youtube for a separate channel.
I can understand why some people would need anonymity but most people don't. Personally I have no need to hide behind a pseudonym, I am who I am and that's who you get.