Many musicians have played at anonymity without going all the way.
The Traveling Wilburys was a side project for some of the most famous rockers in the world (Bob Dylan, George Harrison, Tom Petty, Jeff Lynne and Roy Orbison), but in press materials and liner notes they pretended to be a fresh, unknown band of wandering minstrels.
Groups such as Scotland’s Belle & Sebastian and Japan’s Beat Crusaders started life with cagey promo photos, donning surgical masks and covering their faces with dot-matrix “portraits,” respectively.
Gorillaz were a supergroup of sorts, formed by Damon Albarn (Blur) and Jamie Hewlett and featuring cartoon characters. Early on, the band even played behind a screen showing only the animated members.
Various rockers (Andrew W.K., Buckethead) and dance musicians (Deadmau5, RJD2, Daft Punk) have worn masks and helmets as part of an image, without completely hiding their real identities.
Then there are the legions of horrorcore, “shock” rockers — your Slipknot, Lordi, Insane Clown Posse, etc., all the way back to GWAR. Real names of these band members are readily available, though each utilizes pseudonyms, gory masks and costumes for effect, on stage and off.