For the record I've worked both as Sole Trader and through a Limited Company, and I find the Limited Company to be far better.
That's just a personal view, you should read Tommy's pro's and con's and make up your own mind.
My own suggestion is that if you see yourself being self employed long term, i.e. for the rest of your career, then you should seriously consider the Ltd company route.
If you aren't sure what you'll end up doing and you want to try being self employed for a while, then start out as a sole trader.
-Rd