In the US, it is mostly painless to create a company in another state. Fill out some forms online and pay a few hundred. If you don’t have a presence there, you have to pay for a registered agent in the state. That’s about $100/yr. You may also need a mailing address, but you can get a post office box that will accept and scan your mail for another hundred bucks a year. Star and local taxes.
What about the EU?
Of course you still need to know your way around local taxes, legal obligations (of the shareholder, of the company) etc. etc. but that's the case anywhere in the world.
One example: If you're a cross-border worker you'll likely have to file multiple tax decelerations (one for each country), which can be quite complicated if you don't speak the local language (and even if you do).
Yes, if you have sources of income in multiple countries, you might have to. But if you're (only) working on the other side of the border and this is your only source of income, agreements on double taxation and tax harmonization between the EU member states should actually prevent that. Heck, I even worked in the US once, declared my taxes there and didn't have to do my taxes back home in the EU anymore.