The value of incorporating (or forming an LLC) out of state is limited at best if you're going to continue to live in your home state. Nearly all states require a "foreign" (out-of-state) corporation to register (and pay fees) if they are going to operate in the state. California, for example, says that if you set foot in the state once during the year to conduct business, you are doing business in the state and should register (of course, not many small businesses follow California's rules.) And the fees for registering a foreign corporation (or LLC) are, conveniently, the same as if you registered the organization in your home state in the first place.

If you're in MA, and set up a business in NV, you'll definitely have to register in MA -- you won't credibly be able to claim you aren't doing business in the state if you reside there -- and the registration fees will pretty much negate any savings from setting up your LLC or corporation in Nevada unless your organization becomes pretty big and you have a CPA doing advanced tax avoidance strategies.

Otherwise, I would absolutely echo Nick's remarks. The first conversation after you familarize yourself with the different entity types should be with a CPA (and I take Nick's suggestion a step farther and say find a CPA, and not an accountant, and find one who has some familiarity with entertainment-related businesses. The CPA can give you excellent advice on the tax consequences of each type of business and will have reasonable knowledge of the liability issues as well.

Next, you will most definitely want to spend the $ to talk to an attorney with adult experience. I've seen people get some absolutely awful advice from well-meaning but incompetent general practice attorneys.

All the time I hear people say "I can't afford an attorney" or they skimp and get a bookkeeper instead of a CPA or whatever... and it's pennywise and pound-foolish. If you can't afford good advice to start up, you need to save some more money until you can, because otherwise, you're likely to either get into trouble over 2257 violations (this is an incredibly regulated industry) or pay a ton in taxes/penalties/fines if you aren't set up correctly.