You can incorporate as a 501(c)(7) - tax exempt as a non-profit, but not tax-deductible, there's a difference. In most states that's pretty cheap ($25-$50) and doesn't require an attorney's signature. But you still may run afoul of zoning and building codes, and some municipalities are very aggressive about enforcing business license ordinances. You may not think you are a business, but they will because it is in their financial interest to do so. So in my experience there's a lot more potential trouble with the locals than with the state and federal level, where things are pretty well cut and dried.
You can read all about 501(c)(7) on www.irs.gov, and your state's Secretary of State probably has a website that tells you all about incorporating as a non-profit in your state. As for keeping the locals off your back, good luck.
I agree, the best thing is to keep it strictly informal, but hostile neighbors can shut you down in a heartbeat if you go that way.
-Glenn