Let me get this thing back on track. In spite of a few bone-heads, those of us who actually went to business school can help you. Here is the deal:
An LLC will definitely protect your personal assets in case of a corp. liability as well as a corp. lawsuit. It will protect you against exactly what you are describing: a civil liability due to an accident where your company is doing work for a client. It is not just for monetary liability - i.e. business bankruptcy, etc - but also for any exposure which may occur as a result of the normal operation of the business.
Especially in the fitness business, (not so much the writing part - that should be a really minimal liability issue) you need to protect your personal assets. An LLC will accomplish this.
Yes, LLC filings are on a state level, with the Secretary of State. LegalZoom just files as your agent (on your behalf).
The state fees, whether it`s PA directly or through LegalZoom, your attorney, or whomever, should be identical. I`m not sure what you are looking at on the PA site - just call the Secretary of State`s office and ask them the fees for establishing an LLC.
LegalZoom I can speak to since I used them. They have different packages depending on how fast you want the filing - in NC, mine was $279 I think - $125 to the state and the rest to LegalZoom. It wasn`t an extra $279 - that was inclusive of the state fee as well.
You can do it either way - download the forms yourself from your state, or use someone like LZ - kind of like filing your own taxes on paper yourself versus buying software like TurboTax. It can be done either way, but good software makes it less of a pain and is more thorough on the up-to-the-minute legal issues.
Finally, and this probably goes without saying, I`m not an attorney yet, so this advice is just from personal experience. Feel free to personally email me if I can help clarify anything.