I use an LLC. The complexity and cost vary from state to state. For me, it cost about $300 to set up, and about $70 every 10 years to maintain. As a single member LLC, you can even file the taxes under your own return.
I've created LLCs in the past but my next company is starting as a C-corporaion just to avoid the tax entanglements since I already need the same tax people either way, so why not take the added advantages and greater protection.
Where you start your LLC matters a lot. E.g. CA is one of the worst - you have to pay minimum tax at founding and then every year: $800+ last time I formed one. NY was far easier - there's a minimum annual but then no minimum tax so no revenue no tax.
Outside of dollar cost, what is involved in doing the paperwork every year?