My current nick and the variations thereof I use depending on the constraints of the service I'm registering for with it come from Garth Nix's Old Kingdom books (specifically Lirael and Abhorsen). There's a character called the Disreputable Dog that I really liked, and I've used it for about two years now. It varies whether it's the full TheDisreputableDog, TDD, DDog, Kee, etc.
Before that, I used "Migel" since I first started seriously playing around on the internet up until the switch to Dog. He's a character in the anime Escaflowne that I was identified with by an online quiz (I was about 13 at the time).
I don't like using my real name because I'd like to make people do a little bit of work if they're going to take it for innocent or nefarious means. However, I do use my real name in situations and services where I am trying to make professional contacts, etc. I think there are some good principles for internet safety, but after a point there will be someone with the skills or bullheadedness sufficient to wrest whatever information you're hiding from you no matter what precautions you take. You can't even prevent that by not being on the internet at all, so I'd rather take advantage of the medium than not.
Re: people taking you more seriously if they know who you are... There is a point in that, referencing the power of 4chan to make lives hell anonymously. However, I don't think that having a specific nick for online use qualifies as being truly anonymous--it's really psuedonymous, isn't it? For me at least, it creates the same effect as if you were using your real name. I could care less whether it really says Russell Nash on your driver's license; it gives me an identity for me to catalog you in my head just the same.