If I changed my name, I'd drop half my surname. Compound surnames are annoying (plus they sound pretentious).
But not as pretentious as people who have who have like 5 middle names on top of a hyphenated surname.
Once I was hanging out with a bunch of people who came from a rural area, and a lot of them had two or three middle names, on top of the fact that their parents add things like "Lee" or "Ann" to the end of their first names. I don't know if it has anything to do with where they came from, but it made me and my measly little name feel rather inadequate.
I've only seen hyphenated surnames used for egalitarian purposes (i.e., in egalitarian opposite-sex marriages or in same-sex marriages where no one wants to give up their surname). It does cause problems, however, when two people with hyphenated surnames want to get married.