Unfortunately, that's actually as close as the wrong lawsuit happy person stepping in a hole on your property and twisting their ankle- but an LLC would offer your personal assets {and other investments} safe)If it's just yourself taxes are not so complicated with a SMLLC (single member LLC) so that shouldn't be a huge reason not to use one as the protection benefits offset/outweigh the small steps during tax time. 

IMHO, the minuses outweigh the pluses.

Each entity will require a separate bank account number, checkbook etc.Opening an LLC in one of the states that you mention can be great if you operate a large business as they normally have large case law to support their them.However, as a real estate investor, the cost may out-weigh the benefits. 

It's obviously dependent on a multitude of factors as to whether the benefit outweighs the cost.

What’s the best entity to have, and is there a way to set one up where the tax savings outweigh the costs?

I say that because I was in analysis paralysis until one day my drive to succeed in real estate out weighed my fears.

I just think your ambitions outweigh your experience at the moment from what you have shared with us.I truly wish you all the best and sorry if this comes off sounding negative.Randy

We've found that economies of scale has outweighed the distance inefficiency, but the team will make and break everything.

Or a potential buyer being turned off because it didn't get a phase 1.That is a minefield, and the downsides FAR outweigh the potential savings.

Or do REI pro’s still outweigh the cons of high rates?