pen name?

I'm intrigued by the idea of using a pen name. The thought has crossed my mind from time to time. My cousin mentioned that she has a pen name for "freedom and privacy." I like the idea that a pen name can provide a sense of anonymity. In my case, I could also take a pen name the other way. I mean, my given name is plenty anonymous, so I could use a pen name to separate myself from the crowd. I always thought when I published a book, I might use a pen name, since my given name is almost as common as Jane Doe. The problem is, I don't have the slightest idea how to go about creating a pen name. Where do I turn for inspiration? Any input or advice would be much appreciated. Meanwhile, I shall sit and ponder.
Signed,
Nearly Anonymous