This is a very complex question, and the answer is case by case, depending on your exact circumstances.
Going by tax considerations alone isn't the best way to do it.
Sole prop has the advantage of being simple. Corporations have some limited liability. C-Corporations, if your income is large enough, can enjoy somewhat if a tax advantage with income splitting, but you get a bit of a tax hit if your income isn't from "double taxation." S-Corps add a bit of limited liability protection, and work better than C-corps if you have a loss, but the tax situation is the same as DBA (more or less).