Ask HN: Do I need to set up a limited company in the UK?

A friend and I are soon launching a small subscription-based web application, charging a small monthly fee. We don't expect it to make huge amounts of money, so is it actually worth going to the hassle of setting up a company along with a business bank account for a project that might ultimately fail? Any advice would be appreciated, as neither of us have much knowledge of setting up small businesses.