I have my own business, but not one that sells things online. Doing advertising for other sites on sites that I make and get in search engines.
You'll want a business license, and you'll want to incorporate as soon as possible. Get a decent accountant to help you with taxes. Get a business service to cut you your checks as if you were your own employee.
Trick I've heard but don't reccommend. Have a partner. Lay your partner off, have him collect unemployment. Hire him back in whatever time. He lays you off. You collect unemployment. Repeat. Again, I don't reccommend doing this, but I have heard of people doing it before.