When you're just starting out, personally I would do a sole proprietor but do a dba (doing business as) for a company name from the start. Then, once you start showing a profit and not a loss with your business, form an LLC but elect S-Corp status. You have to elect that shortly after filing or else the window closes on that. Get a good accountant to confirm this, but you'll save yourself a ton of tax liability once you start turning a profit with this method of incorporation. If you just form a regular LLC the taxation is very similar to sole proprietor - in other words, you take a huge hit on taxes.
I'll also echo what someone else said in that when you're in an artistic field you're usually given a lot of "leeway", so to speak, from others. That includes names, the way you dress, etc.