Have actually been looking at this recently but definitely consult an attorney in your area with experience, as there are differences by state, etc. Some reccomend registering in a state like Delaware that is known to be a but more business friendly, but then, assuming you are not from Delaware, you need to have a licensed agent there on your behalf, and likely still need to register as a foreign corporation in your home state (at least that is how it was for California), so you don;t really escape any of the fees in your home state, don't dodge the taxes and there is some question about how much, if any, additional protections there are if registered in another state.
If I recall correctly, at least in California, you had to register the LLC with a physical address, but check your states rules on this.
I've got a dinner tomorrow night with my potential partner in the venture we are looking at - depending on how that goes will determine if we pursue things further and I set up a meeting with a friend of mine that is an attorney that specializes in small businesses/entrepreneurs or if we decide to not take the possible venture to the next level.