I have a small business, so here is my advice... LLC (what I used to have) is great for small business, very flexible and it's easier on your CPA... Drawback: you have to have a partner (two minimum). C-corp/S-corp (what I have now), it can be yourself and it's more work for your CPA since you have to be on payroll, meaning pay yourself a salary, social security, etc...
Also don't worry about double taxation, it's the most miss-understood concept and doesn't mean your are taxed twice. Both you as an employee of your own company and your company have to pay taxes, but your salary is deducted from the whole amount your company makes... For legal reason and since I am not a CPA I can't give you specifics, but at the end of the year you keep much more of your money as you would if you are on salary since you can deduct much more. Also, you can open a SEP IRA and have your company put up to $41k in your retirement account which you can deduct from your taxes etc.... Also keep in mind that tax laws change every year in a big way, so what is true today may not be next year. also to keep in mind, my CPA tells me that it's not worth opening a Corporation or an LLC if you make less than 200k/year... You won't get much benefits, and pay a lot in CPA fees.
Don't set up your corp. using online services, use a real Lawyer, it's important to be set-up properly, and a good business lawer will want to talk to your CPA, so that they can decide jointly what is best for you. It's quite a bit more money, but if you ever get audited or in a Legal bind you'll be more than grateful you did, plus you get the benefit to be able to say "I'll have to talk to my lawer"