There will be instances where it makes sense to be open and honest in your online dealings (close friends, your bank account, your work accounts). Trying to cover up your real identity in those instances could have negative consequences. (explaining to your bank that you really are the Rip Torn on the account...)
But in instances where you are dealing with strangers, and you may never deal with them again, obfuscate as much as possible.
I (like many here) run my own mail server. I must have 250 accounts on it right now, as I make up a new account for each online entity. (allows you to delete that account if you start getting spam, etc.) Having that many accounts also dilutes the meta data about you in large databases.
If you don't have one already, get a P.O. Box. If you sign up to have some piece of lit delivered, have it sent to the P.O. Box and use an alias for a name. I get lots of mail addressed to many different names - the Post Office gets used to it. Again, it dilutes the info about you in databases.
Think about how you are going to interact with each new online entity (entity meaning store, blog, media, etc.) before you type your first word. There are few places online that really need to know about you - they may want to know about you, but they don't need to.
I think it goes without saying to watch your cookies and javascript at new sites. (I am always amazed how a single site can have 15 javascripts from other sites. Gives me the creeps.)
I'm not saying you can escape entirely, but, like an earlier poster said, it's not about whether they know, but how they use that info. And if the info is less accurate and more diffuse, it is less valuable and slightly less likely to be used in a way you don't like.