Mine is kind of wierd and has some history to it. Let's begin, shall we?
WAY back when the Genesis was still in it's prime, I got to really love Sonic the Hedgehog. Well, me and my glorious and ridiculous imagination made a character that looked like him in many respects, but was very roughly cut and different. His name was Darksonic. Now, you may be thinking I copied the idea of Shadow, but no. This was YEARS before Shadow was even an idea at Sega. He lived in a different world, different universe, different storyline, had different abilities and was the main character for a series of stories I was working on at the time (all in my head, never released). Well, at around the time I came up with his third incarnation, named DarkX, I started working on music and had several different handles. This was back in the MOD music scene days (module music, not UK fashion) and I eventually phased out all but one name: djDarkX.
Since then, I've used that name whenever I'm doing something music related on a forum or website. The name just stuck. It worked well and I like it. I'm not embarassed by who I came upon the name as it shows how sometimes a username can have history behind it and tell a tale, even if it's a weird one. Regardless, I go by this name on YouTube, on here, VXACE.net and various other places. All my music is tagged with my real name and my musical name. That's all there is to it. :]