When I moved to CA for my first pro gig: I had signed my contract in May, got married in July, and when I arrived in October, I had to change all of my contact info to my married name (that really annoyed the PSM). For one, it was easier to pronounce, and two, I hadn't established myself in my maiden name in CA, so it didn't matter to me. When I went AEA 2 years later, I kept my married name.
The one thing that does confuse people - legally my first name is Leslie, but my AEA first name is Les. I've gone by Les since I was 12, so it made sense. For those that only know me in AEA circles, they tend to get confused when I fill out tax paperwork or a w-9, and they write checks to Les instead of Leslie. My bank is fine with it and lets me deposit, but I have one employer that I work for once every two years or so and she is always confused about which name to put in the program and which one on my paycheck. Generally, my legal name ends up in the program instead of my AEA name.