Contact an attorney experience in business formation. I would suggest the formation of an LLC. This protects you personally from liability and affords you the most favorable tax treatment.
I agree with Mr. Bruno. I do business formations and tell my clients to consult with an accountant for tax treatment. Keep in mind that an LLC has a much higher start up cost. you can be incorporated (Inc.) within a couple of days at a much lower fee rate.
Any business attorney can direct you further. The bottom line is that there is no State better than another one as tax/legal benefits applicable in some jurisdictions may not apply to your situation. Sit down for a consultation and plan your business accordingly. I understand you are located in NY so you can choose among many attorneys here on Avvo.
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I suggest you discuss this with a CPA.
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