A sole proprietorship doesn't give you the same protections as a corporation. You have unlimited personal liability for your business actions.
And in Slovenia (potentially elsewhere in Europe) I have to do a bunch of bureaucracy to get a sole proprietorship. In the US, I don't.
Hence why it's one of my fav things about moving to the US.
I understand you may already know this, but I think it's an important caveat that is frequently overlooked in such discussions, causing many small businesspeople surprise when they learn that they may be personally liable in the event of a lawsuit (which will probably name the publicly-listed owners as defendants by default).
IANAL