I think I read about it that Florida is being publish 50x yearly and it is world's most exciting emerging and established state I think.
Nevada isn't a bad option. Florida is also pretty good. Basically, any state without a state income tax, and with favorable business tax rates, is good.
you don't *have* to, but you should. If you want to open a business bank account, where do you open it? They tend to want the business to be incorporated in the state that you're opening the bank account in. If you have to put down your personal address on *anything*, then you'll have a hard time pretending you're not doing business in the state you live in. If you're doing business in a given state, you're subject to their laws and regulations even if your company is not registered or incorporated there. In fact, most states have higher costs and fees and taxes for out-of-state businesses doing business there than local businesses. So overall, I would be very careful with registering in a different state than you actually live and work.
If you do most of your business in your own state, then you will have pay state income taxes in your home state so it wouldn't benefit you to have an out of state LLC. Also as your revenue gets higher say about 50k yr, it may be better tax wise to setup an S Corp. Tax wise there is no benefit between an LLC and Sole Proprietor. I'm not an accountant and would suggest you take an hour and discuss these things with an accountant before you spend money setting up a corporation.