Oddly, while this name-changing phenomenon is quite common among Chinese but doesn't seem to be as common among other ethnic groups (as a means of comparison, the Japanese in particular come to mind).

I've always gone with my given name of Lun Zhang (or Zhang Lun, if you want to be pedantic...) and have never seen any logical reason why I should change it. My parents chose my name when I was born. It is a part of my identity and crucially for me, a connection to my Chinese heritage.

Yes, the pronounciation of my name does occassionally get mangled by people from a non-Chinese speaking background (i.e. the majority of my friends). Yes, it isn't common and quickly sets me apart (which I would view as a positive thing). But the fact of the matter is, I've never ever encountered a time where my Chinese name has proven to be a hindrance. Or conversely, I've never been in a situation where I've felt it necessary to have an 'English' name.

My question is this: why do you feel it necessary to change your name and not just use the pinyin equivalent of your actual Chinese name?