I'm not a lawyer and this isn't legal advice, but I started an LLC earlier this year myself for one-man game development, so I can share my experiences. The following is based on what I've done and what I've read online when I was doing my research.
As you found out, LLCs are probably the best option most of the time for this sort of thing. I thought about forming an S Corp for a while, but LLCs usually have lower taxes (because of pass-through taxing) and fewer formal requirements.
Note that a single-member LLC is going to be viewed differently in some ways versus an LLC with several owners. One article I read went so far as to suggest giving a small percentage of your company (maybe 4% or 5%) to someone else you trust-- maybe a relative, but not someone as close as your spouse. The author's reasoning was that courts would be more likely to uphold your company's status that way if you ever had liabilities to fight, rather than risking having them throw that out and just view your company as a sole proprietorship.
Delaware is the state everyone cites as being the best option if you're going to register out-of-state. The fees are low, and the requirements are lower. I don't think they even require you to file an annual report. The downside of registering out-of-state is that I think (not positive) that you need to have a mailing address in that state. I know there are some companies that will set you up with a mailing address in that state for that purpose for a fee, though. Seemed somewhat pricy when I checked, maybe $100-200/year?
As for the registering process, it's really easy to do online, at least in my state. I thought about using an online service that registers for you for a fee, since it sounded safer, but the opinions I read online suggested that it was actually not safer than doing it yourself anyway. In any case, the process was easy and the questions were simple.
After registering, you'll want to get an Employee Identification Number (EIN) from the IRS. This involves just filling out a ten-minute online form. Even if you don't plan on hiring anyone other than yourself, you'll still want to get an EIN. You'll need the EIN when you do business with some companies, and you'll need it when you open your business checking account.
When you're ready to open your checking account, call the bank or credit union ahead of time to ask what their requirements are. You might want to do that way ahead of time so that you can get the ball rolling faster. They'll probably require your EIN, proof of the company's organization, and maybe some other paperwork like an operating agreement. They may also require that you have a personal checking account with them yourself. Some places require large minimum balances as well, but there are some credit unions that don't have any minimum balance requirements at all, so just check around.
Once you have your checking account, I've read that it's very important to keep your personal finances and business finances strictly separate. One article stands out in my mind, where the author said "treating your business like your personal piggy bank is the worst thing you can do", since it challenges your business's legitimacy and thus could put a hole in your liability protection. This might be obvious, but it's just something to always keep in mind.