If you’re going to try to market yourself online pick the easiest name to remember… usually your name… so you can tell people onstage and off. Say your name is Ed Barnett. Register EdBarnett.com and sign up for @edbarnett on Twitter, Facebook, etc. Don’t go around using some random twitter handle like @FunnyEd456 or a website like EdSezFunnyStuff.com. It’s all about branding & being easy to remember.
You want to be able to say to the audience just as you’re leaving the stage:
“Check me out at EdBarnett.com or on Twitter at @edbarnett.”
It’s also much easier to communicate this to industry types (if you’re at this point in your career).
If you can’t get yourname.com try yournamecomedy.com (EdBarnettComedy.com) or yournamecomedian.com. Hyphenated names (EdBarnett-comedy.com) are less preferable because you’ll always have to remind them to use that hyphen.
Whatever you pick, stick with it.