Wow, coming into this thread awhile after it started. But I'll answer too, just because.
I feel Karisu summed up best (and yes, I call her by her real name now too, because I feel I know her well enough to do so, but usually only in private conversation) ^^ , but here's my eleven cents worth:
When I first joined cosplay.com, I picked a name (which happens to be an anime related name because I felt kind of like I was supposed to) because everyone else had an alias too. It just seemed like what you did, and therefore, I did it too.
Now I use it as a measure of privacy between myself and those who don't know me. Someone mentioned suprise at needed this measure, but the average age of the people on this site (and in the anime cosplay fandom in general) are much younger than the average sci-fi goer. (I fit into the later catagory, but don't tell anyone)
With that lower age level comes a lower maturity level (unfortunately), and as Karisu mentioned, things get a little hairy at times with silly highschool vendettas, arguements, etc. that it's best the two people (or more) involved, really know as little about the other as possible for safety reasons. Amazingly enough, people do stalk in the community, and no one wants to be at the recieving end.
I've recently started using my first name only for masquerade competitions. (I usually check with my group and we make a decision whether to go with first names or aliases). Probably because I've started to feel a little silly giving my psuedonym all the time. Not sure why I feel that way, but that's beside the point.
Lastly, (hello long post - thanks for bearing with me) over the weekend, there was a NY Times article that came out that had interviews of some cosplayers at Yaoi Con from last October. The article gave first and last names, ages, and even cities of residence along with job descriptions for most of the people they mentioned in the article itself. More than one of the people mentioned was very upset that so much personal information was given out, and one wondered why the psuedonym she had specifically given them to use was well, not used, and her personal information given out instead. Perhaps there was a misunderstanding between the interviewer and the cosplayers. Hard to say. However, the whole article was rather ridiculous and didn't paint cosplayers in the best light. Of course, that's completely another subject. So I'll stop now! : )