I have to disagree, from experience. CD Baby was a Nevada corporation, though I was set up in New York when I started and Oregon when I left. I never had to file anything in Nevada, and there were no "needless" hassles or expenses.
Someone has to be the "resident agent" for the corporation. It's no harder to incorporate in Wyoming or Delaware than it is in Ohio or Arizona. The expense really is only $100-$300 a year to have a resident agent, and I've found it very worth it.
I'd rather have the LLC/corporation domiciled in a state like Wyoming, Delaware, or Nevada so that I'm free to be location-agnostic with where I choose to live or work. If you incorporate in California or New York you're going to really regret it when you move to Texas or London in a couple years.
Incorporation in Delaware or another random state is a needless hassle and expense for small businesses. Incorporate in your home state. When you get big enough that you have several accountants and lawyers employed by your company, they can tell you the benefits of shifting the incorporation to another state. Until then... it's a waste. Premature optimization, as they say.