Michael K. Williams (aka Omar Little)
J.R.R. Tolkien
George R. R. Martin
Billy Dee Williams (His real name is William December Williams)
Angus T. Jones
If authors are fair game:
JK Rowling
EM Forster
TS Eliot
EL James
e.e. cummings
W.H. Auden
CCH Pounder Bagdad Cafe (my favorite of hers)
A.C. Newman
KT Tunstall
JC Chasez
Didn’t he do it as a tribute to the Canadian character guitarist Yngwie J. Pollard?
Humphrey B Bear!
Nope, I got nothin’.
A lot of SF authors do this:
Kevin J. Anderson
Iain M. Banks
Peter S. Beagle
Tobias S. Buckell
Michael A. Burstein
Octavia E. Butler
John W. Campbell
Arthur C. Clarke
Joseph H. Delaney
Samuel R. Delany
Philip K. Dick
Gordon R. Dickson
Thomas M. Disch
Michael F. Flynn
Charles L. Grant
Jack C. Haldeman
Charles L. Harness
Robert A. Heinlein
Michael P. Kube-McDowell
Geoffrey A. Landis
Ursula K. Le Guin
David D. Levine
Barry B. Longyear
Richard A. Lupoff
Ian R. MacLeod
Barry N. Malzberg
Maureen F. McHugh
Vonda N. McIntyre
Patricia A. McKillip
Walter M. Miller
Thomas F. Monteleone
James K. Morrow
David R. Palmer
Robert J. Sawyer
James H. Schmitz
Clifford D. Simak
John E. Stith
Sheri S. Tepper
Joan D. Vinge
Stanley G. Weinbaum
William F. Wu
Bunsen E. Honeydew, famous (if rather spongy) experimental scientist
Also, Johnny Q. – what’s a “character guitarist,” if you don’t mind the hijack? One with mad skills who shows up in the sessions of other musicians, like, say, Roy Cooder, or Jimmy Page pre-Zep?
John D. Loudermilk, singer/songwriter (“Abilene”, “Break My Mind”, “Tobacco Road”, “Indian Reservation”, etc.)
Tom T. Hall, country singer/songwriter (wrote “Harper Valley P.T.A.”, a hit for another middle-initialed singer, Jeannie C. Riley)
That’s to differentiate her from all of the other Yngwie Malmsteens. 
L.L. Cool J? Nope? Not even a titter?
How about
A. Martinez
A. Whitney Brown
J.J. Cale
C.C. deville
Back in the late 1980’s there was a female country singer named K.T. Oslin. 
God bless you and her always!!!
Holly
P.S. To me all of her songs on the radio were good and the videos made for them songs that had a video only made them songs even better!
PJ Harvey (yeah, she doesn’t use initials, but then, unlike most of the other names listed in this thread, it isn’t a stage name – she really was born Polly Jean Harvey)
J. J. Johnson, jazz trombonist
The Yankee Doodle Dandy, George M Cohan.
my father thanks you
my mother thanks you
my sister thanks you
and I thank you
Donald S Davis from “Stargate SG-1”