I did it to protect myself. Worse case they can only take whats in my company. (I build apps, but you never know when you will encounter the next ouch-hot-coffee-in-paper-cup wacko)
Keep in mind, at least in the US a "business" is nothing more than a legal and tax entity. Lotta people talking immediately about "your startup will fail!". A "startup" is only one of many ways to do business, and more and more often I find it a smoke and mirrors way of doing things.