Not. I remember when I was growing up, a good family friend would always get flustered and uptight when tax season came around. Now I can understand why. Having setup my corporation last year and 2008 being the first full year with significant profits, it stinks having to write out a massive check to hand over to the government.
I guess having a big tax bill is a good problem, but what is the government going to do with my money but throw it away after some failing company or how about into the black hole of social security. That is one good thing though, about having your own entity as a business instead of self-employed. You can save a lot on social security taxes. (Here are some standard deductions for small businesses)
I have an S Corp., and the way it works is, say you drew a $50k salary throughout the year from your company while your business made $200k in profits. That 200k flows through to you ultimately but is not taxed on social security which is about 15%+. So you just saved about 30 grand on taxes because you had a business entity setup. Same with the LLC I believe.
If you are heading into the realm of doing this full time or are starting to make decent money with affiliate marketing, it can only help to setup a business entity. Choosing an LLC or S Corp. is up to you, but the benefits are mostly equal.
(Disclaimer: I am not an accountant and know nothing about taxes 
so do your own due diligence)
good advice!