Ask HN: Self-employee or start a company?

I do some contracting for different companies (web development, linux administration).

So far I've been self-employed and just getting checks in my name. Recently I have done some contracting for a company, and the manager told me he finds it weird that I don't have my own company.

I was wondering, are there any advantages of creating my own company ? I'm not looking for any jobs, they come to me, so I don't care about people seeing me as a company which is more professional.

I'm wondering more on the tax side, are there any advantages in getting all the money as a company instead of a person ?

Thank you for any advice.