I don’t recall at this moment all that is needed to set up an LLC, but I can tell you why they can be a good idea, liability! LLC of course stands for Limited Liability Company which means like a corporation the liability is limited to the company not you (except in cases of gross negligence). This means that if you are ever sued, only the company’s assets can be touched, leaving personal assets like your house, car, etc. untouched by the man.
There are other advantages as well involving finances and taxes. I have a book I used in school that covers a lot of these issues for designers, when i get a chance i’ll dig it out and get the title for you.