I agree with SEORasta that it depends on your business. If you are trying to build a brand, I'd go with a unique domain and get some branding put together (logo, colors, fonts, etc). Image what Amazon.com would be if it was JeffBezos.com. Not sure it would be as successful.
But if you're trying to promote yourself as a brand for professional services, your name could be advantageous. Certain niches, like attorneys and accountants are best-served by putting their name out there.
So its all about the brand. If its a blog, only go with the name if its a "personal" blog. Most likely I'd go with a brand name though... gives your customer a chance to know who you are in a word, is a unique name that you own, and most of all its usually more scalable. But hey Turner Media, Bloomberg, etc. But note they're all Turner Media, Bloomberg News, etc. Still needs to be clear what you do just in the name.