A single-member LLC (taxed as a sole proprietorship) compared to a sole proprietorship have no tax differences. The LLC will have legal protection, so in the event your sued, only the assets of the LLC can be taken and not your personal assets. Hypothetically this is how it goes, but then again a lot of people are sue-happy and tend to sue any and every thing which is involved.

If you wish to create a single member LLC and don't have one, you will have the option of having it taxed as a corporate entity. You'll than file 1120 at the end of the year.

In regards to the entity change, I'm not sure. There is a document which outlines this but I do not believe you'd need a new EIN if it's a single member LLC and you were a sole-proprietor before (and will still be filing Schedule C). If you add a member to the LLC, than forget it, because the "entity" changes.