A sole proprietorship is a business entity that is virtually indistinguishable from its owner. The cost to create it is frequently only a small one-time fee to the state or county officials to register a fictitious business name and the cost of placing an ad in your local paper to notify the public that you are doing business under that name.
There is a price for this easy set-up, though. Sole proprietorships cannot take advantage of special business income tax rates since all income is considered individual income. Sole proprietors are also not protected from personal liability if they get into trouble with a client.