Just go with it.

[Mr Cat Dog]

I don't give my real name when I go to Starbucks because the staff there always manage to spell it wrong. I've just end up saying 'Mike', because they can't really screw that up when they're writing it on my frappucino. Apart from that, I've had very few experiences of the sort mentioned in the OP. Which I guess is good, given that I'd ideally like my life to bear as little resemblance to a sitcom as possible.

 

[Ven Bloodia]

I don't bother to correct them nowadays if they get my name mixed up, if ignorance is bliss then who am I to rob others of that bliss lol.

 

[Nick]

People used to mistake me for a woman on the phone. I didn't want to go through the embarrassment on my own behalf of correcting them and telling them that I wasn't one. So blessed that that doesn't happen anymore.

 

[Sableye~]

Yup.
People always are spelling my middle name and nickname wrong. :T
I don't even bother to correct it anymore. Specifically because when I was a kid (and had the same nickname), my mother always was trying to tell people that it isn't spelled that way. But somehow even people in my family (i.e. aunts, uncles, cousins, etc) manage to forget anyway. I'm not sure how, honestly. But whatever, it doesn't bother me much anymore for the most part.