I would choose for a new first name Alexandera, the name my mom wanted for me when I was born (yes, there's a long sordid family story there that we'll leave for another time). I wouldn't change it legally, but it's definitely an option as a pen name for when my writing career takes off if I feel I need a different one than my own. Perhaps I'd use the masculine form as part of my nom de plume, keeping my first name intact (Nicole Alexander does have a nice ring to it).
As for my last name, I'll likely only change it if I get married. Granted, it's been a headache most of my life because my last name gets mispronounced and misspelled so often it's become a joke. Heck, I know immediately if a solicitor is calling because they hesitate over my name, which makes it so easy to brush them off. But it's not a bad name and it keeps me close to the front of the line in many things (it starts with a B). So I'm okay for now.