The answer to your question depends on which state you want to incorporate in, and what kind of corporation you want. If you want an LLC in your home state, usually it's just a matter of filling out an Articles of Organization document and sending it with a check for a couple hundred bucks to your Secretary of State. Wait a week or two and they send you back a copy with "FILED" stamped on it, voila you are an LLC.
If you have a legitimate reason for needing an out-of-state LLC (Delaware and Nevada for example have special liability advantages), it's probably worth it to pay a company that does that sort of thing (sets up LLCs for other businesses) to do it for you, that way you know it's done right. Using an out-of-state business means you'll probably have to register with your state also saying you're operating an out-of-state LLC or S-Corp or C-Corp or whatever, and it can have tax implications -- that's why you want to discuss it with a professional.