I don't but I've played for a surprising number of artists who use one. For all of them, it was because something about their real name gave them trouble professionally, usually to do with language differences - one because her surname sounds 'foreign' to English language speakers and is often hard for them to say/spell (very important if you want someone to look up your music on the internet!), one because his English language name sounds effeminate in the language of the European country in which he was performing, and one because her German surname, while easy to say/spell, sounds 'harsh' to English speakers.