I'm actually asked quite frequently why a person would or would not want to use a pen name when they start publishing. I decided that writing it out in a blog post would be a jolly good idea.
In my opinion, there are three main reasons why an author would consider using a pen name. These aren't listed in any particular order.
1. As a safety precaution. Some authors worry about stalkers, ex-spouses, or other unsavory individuals locating them and making their lives difficult if they publish under their own names. It has been difficult for authors such as Stephenie Meyer, for instance, who published as herself and now must use bodyguards and what-have-you. However, this is not ordinary at all. I've never had a problem with crazed fans or the like, and out of my many, many author friends, I'm only aware of one who has had a stalker. And she uses a pen name. Go figure.
2. Their name is completely unpronounceable. If their ancestors came from a foreign country or they have an unusual name for another reason, they might consider using a pen name just so it's easier for readers to request them at libraries and bookstores and such. Or, if they happen to have the same name as a famous person, they might choose a different name for themselves. My name is unusual, but it's served me well because there's only one of me.
3. To differentiate between genres. If an author is well known for writing middle-grade fiction and then decides to write adult horror, they might choose to use a pen name so their middle-grade fans don't accidentally pick up the horror novel and be scarred for life. Or a sweet romance author might choose another name for her erotica novels. It's something authors to do help steer their readers where they want to be. They know what to expect when they pick up a book by that author. However, if they're writing YA romance and then decide to write adult sweet romance, they don't need a pen name because those two genres are similar enough that the same audience can read both and will probably enjoy both.
Using a pen name isn't difficult. You don't need to do anything legally to make that name yours - you can have your publisher send the checks in your real name and you can use your real name on your business license and so forth. Some authors do a DBA where they add their author name onto their bank accounts, but I haven't done that since all my checks are made out in my real name.
When you choose your name, run a search on Google and make sure there isn't someone else by that name doing things you don't want to be associated with, and check Amazon to see if there are other authors by that name. If all that checks out, take a second to make sure that website address is available, and then snatch it up immediately.
I'd say that the vast majority of writers don't need a pen name, but you know your circumstances better than anyone and will know what you most prefer to do.