Besides the obvious reason of wanting to stay hidden for very personal issues, I have seen people state that they stay anonymous all the time, no matter the question. They do this because they do not want their identity revealed at all on this site - whether it'd be to keep their names hidden from other family, friends, co-workers, etc.. I do agree it's odd to see people hide over "What's your favorite color?" questions, but some people do not want to reveal themselves at all.
I don't know. I've expressed the same concern to a couple of GAG mods and editors. While I can see a need on occasion, I think it gets abused here, especially when used to troll or just be argumentative. I hope GAG finds a way to cut down on the number of anonymous posts. This is supposed to be a community. It's not like our user names are our real names.