Pen names are awesome
I'm flirting around with the idea of using pen names, mostly because sci-fi/fantasy and horror may not necessarily overlap (if we aren't counting the very small niches, such as horror sci-fi).
For Sci/Fantasy I plan on using my first two initials, then a last name, in the same style as T.A. Barron, because my name does not lend itself to the fabulous two-word name

.
For horror, I'm planning on using [first name] [mid. initial]. [last name], mostly because it will differentiate me, as well as be longer than the one I am using for other genres. Even though I hate my first name, blegh >.<!
The two names can be easily connected (if I happened to have fans who liked both), but it would not be obvious to someone who only reads exclusively in one genre to say "Hey, I've seen that name before..."
I really think it depends on what sounds great; does your name lend itself to something as cool as "Michael Crichton" or as unique as "Tamora Pierce"? If not, you might want to look into getting a pen name. If the coolness factor/individuality factor doesn't matter to you, then you might be best off using your real name

!
Hope this helps!