If the customer(s) of your business are in Spain, then you would almost certainly find it least complicated to setup a business in Spain. As a legal resident of Spain, you are already required to pay taxes there.
From what I've seen, the tax rates quickly surpass those of the US; so you'll pay all your taxes to Spain and owe the US nothing (although of course you still have to file).
However... if your customers or clients are US based, then you could setup an LLC in a favorable state like Wyoming (you can search on this topic of course; and my serious search resulted in Wyoming seeming to be best). Then your US clients will not face any perceived or real obstacles in doing business with you; and your tax work should be easier (getting qualified help).