It depends how large the business is and what risks you may have. The basic benefit of incorporating is limitation of liability. This is not to say that, if you are performing an action in your own company and you perform it negligently and injuring another person, the corporate status will insulate you from being sued personally. It won't. It means that in the ordinary course of business, if your business goes bankrupt you cannot be held liable personally for the debts of the company. Additionally, you may also enjoy other limitations of liability, ability to easily sell parts of the company to investors, etc.
On the flip side, you will incur costs and will have to deal with more paperwork. If you have a small corporation, I suggest that you form an "S Corporation" or other similiar type, e.g. LLC, and not a "C Corporation" so that you will not be taxed twice (the corporation and you). In a c corporation the corporation is taxed on its earnings and then earnings passed on to you (dividends) will be taxed as income as well. With an S Corp., you will pay tax only once as though the income flowed directly to you.
There are differences in each type of corporation and too numerous to state here without more facts. TheLaw.com creates and files corporations at low prices which will soon be posted. Feel free to contact me or use the contact form.