It's best to choose something common that sounds believable & easiest to use the same name every time. This way, your friends are less likely to accidentally blow your cover by screaming, "HEY, MARIE...MARIE!!" at you when you're mooching free drinks from a guy who thinks your name is "Amy".
Erica: "Marie, why does this Douche Bag keep calling you 'Amy'?"
Marie: "You didn't think I'd give him my real name, did you? I gave him my Club Name, fool."