I have to go along with Nevada. The state has structured its laws to encourage business development. But, the state is moving towards tighter laws governing business, especially given some recent scandal`s.
This is really going to depend on the type of business you plan on conducting. Most web based companies will file out of tax friendly states like Wyoming or Nevada (check your state, you may be living in a state that has small annual fees) The foreign qualify in the state they either open offices in and/or hire employees in.
You can also read http://www.myllc.com/which-state-to-form-llc.aspx this article was written by the author of LLC for Dummies.