Proxy ownership

These companies will register the domain in their name and hold it for you. You own it, have all sales, transfer rights.

US-based
http://www.domainsbyproxy.com (also available through godaddy.com, $12 charge in addition to reg domain fee per year.)

Non-US or offshore:
http://privacy.li/anonymous_domain_registration.htm ($30/year, take egold for total anonymity)

http://www.alpina1.net/domain.jsp (EURO 15/yr take egold)

http://www.all-inclusive-privacy.com/domains.htm ($21/yr including domain registration and ability to use their name as contact, take egold)

http://nameadmininc.com/ (?no info)

Also many web design companies will register and hold your domain name for you so your personal info doesn't show up. Many escorts do this. However in this case, it may be hijacked or held hostage unless you have a specific contractual agreement around the domain transfer to prevent  this.

Other options:

*Set up an LLC, use LLC as registrant, your Registered Agent/(lawyer probably!) as name/address contact, host service as tech contact. Set it up in another state for better privacy. Find a state whose online corp records display minimum info to help deter busy-bodies and casual snoopers. As long as the LLC isn't earning income in your state, you don't have to register it with your Sec of State or mess with a dba. LLCs are great for merely holding assets and adding a layer of privacy. You can set them up for $200-300 or so online, depending on state and filing fees, more if you use a pvt attorney.

*use fake name/contact. Not kosher, but many do--just browse the registrations and see for yourself. Just remember to pay each year well ahead of time, use a valid email that won't bounce. If they try and contact you and can't, they will put it on administrative hold.)

Forgot one

Another place you can get anonymous domain names:

US Based:

http://www.katzglobal.com/hosting/anonymous-domains.html

(19.95/yr, take egold and PayPal)