Another vote for S Corporation here
Pretty much for all the reasons stated by Greenie. Although that corporate veil isn't quite impenetrable, it does add a layer.
I actually did all my incorporation through an online service...was rather simple. Filled out the forms...paid the fees...and within a couple weeks, I was a corporation. Complete with tax ids and certificates of good standing to do business...all in...the cost was under $1500.
Gotta love the Internet!