I believe Delaware is one of the best tax-wise, but unless you're bringing in lots of revenue, the additional hassle of getting a (representative? agent? can't remember the term for the entity that allows you to set up in a different state) might not be worth the additional complication (in comparison to just setting up everything in your home state). As far as I know, that's something you can change later, anyway...I think the most important thing is not getting hung up on the technicalities and just going ahead and getting started.
Wyoming, followed by Delaware, but save Delaware for the C-Corp when you need formalities from outside capital.
Both offer levels of privacy, Wyoming’s aren't codified they just dont care (and will help you), there all you have to do is just have anyone else sign the organization documents. Your registered agent or your lawyer can.