It's obviously to shock and awe, giving him or her an inflated sense of self worth/satisfaction when people react.
Internet forums are easy to do that on because you can create a character and live it out, regardless of whether you are capable of maintaining your moral's and ethics in the real world.
I think its particularly sad (I actually mean the emotion sad, not just the 'dissing' term) when people pretend to be celebrities on Facebook and Twitter. They must have nothing else in their life and value it less than the person they are trying to be.
That being said, Nazi's are an obvious choice that will rile people. If people feel the need to do it, i prefer the people who have the imagination and originality to choose something that is less obvious but just as shocking when other posters find out about the avatar.