I've changed mine a few times, both informally and legally...never really thought why, before, at least with the informal names. My birth name was never used, in fact, I'm unsure of the proper spelling. ..so I think from the start I've never really felt any true identity with a name....it's just like a number, for others to identify me with.
On the other hand, when I have changed my name, it's been when I've moved on...maybe by changing name, I was trying to change myself...a new life?