You can certainly form an LLC in a different state. The choice of jurisdiction will depend upon a few factors, such as the business laws within the state, privacy protections, tax implications and liability protections. It will also depend upon how many owners are in the LLC. If you are the sole owner of the LLC, the entity is classified as a single member LLC and is disregarded for federal income tax purposes. In some states, single member LLCs aren't afforded the same protections from creditors as multi member LLCs. Generally, creditors are limited to charging orders and are not permitted to take over an LLC interest or seize assets within the LLC. Some states, however, do not provide these protections for single member LLC's. Only certain states such as Delaware, Wyoming and a few others, have specifically adopted statutes that provide these protections. The other concern is privacy. Some states maintain a public database which lists the LLC name, address and the owners of the LLC. If you desire more anonymity, you should form an LLC in a jurisdiction that does not publish these details.
Taxes are certainly always another concern. Some states have mandatory tax filings for entities formed within the state, while other states do not require annual filings if you do not conduct a trade or business within state lines. If you form an LLC in a different state, but you live and operate your business within PA, you'll likely still be required to file a PA business tax return for the entity because you're headquarters are within PA.