Let me get into more detail about the stage name nonsense. Please don't take what I'm about to type as pretentious ,because I have a feeling it may come off that way.
My nickname since I started going to shows is Trent (Because apparently I look like trent from Daria), with the rise of the interwebs akaTRENT makes a good screen name since to me it looks cool online and its true haha.
So for when it's stage time I tell people my name is Joe or Trent, and heres an example why. A few nights ago we played a rather large venue, with.. I'll just say it, The Goo Goo Dolls. (Now I sound pretentions, sigh)
Anyway, Since we're a smaller band we talk to as many people as possible after the show to hand out free music etc. I used to make the mistake of giving using my real name on the band page, and I would get flooded with requests sometimes. My facebook is personal, to a degree, I don't want it to be flooded with people I met for five minutes at show. It's like Alex said basically.
Thats what the band page is for..., even on my YouTube I do it for similar reasons.
I love the people who love the music I play, but there is a level of space, thats appropriate, usually about 20 feet from the the sacred van and trailer haha.
So to everyone who doesn't get a stage name, trust me sometimes it's necessary if you care about privacy. I am by no means a big artist at all, but I have come across enough crazies at this point to go about things the way I now do.