I always use my legal name. But to your point, I'd think that as long as it is a name you use, it would be okay. If you win a prize where a 1099 would be generated, you'll have to provide enough info so as to be found in the IRS vaults for taxation purposes. And you'll have to file the 1099 and associated documents with your annual gift to Uncle Sam.
Mark
2009 wins:
Castrol T $15 (IW)
Henry Ford Museum Annual Family Pass $125 (IW)
HP8500 All-in-One = Logo + Supplies (GP) $2724
Rascal Flatts Download (5) $5 (IW)
Shark Week DVD Series $29.95 (IW)
Pace coupons (6) $24 (IW)
ChickFilA coupons (2) $6 est (IW)
A 2nd prize in the mail- trying to remember prize/sponsor. T shirt, I think, $20
Cheerios (5) $25 (IW)
ZNi album download $5 (IW)
Free Night @ Holiday Inn $278 (IW)
T-Fal Pan (Why Milk) $14.99