As geon stated, it's not necessary. In your particular case, you could setup a sole proprietorship whereby you treat business income as personal income for income tax purposes. You don't have to register your business with your government, but there's benefits for doing so. First off, you have to register if you want to legally register a company. A sole proprietorship generally needs to use their birth name as the business name, such as "Fred Barny's Auto Shop", but would generally be disallowed to go under the name "The Auto Shop" without proper registration. You could do it, but if you step on someone's toes (ie: the trade name is taken), then you could run into legal problems. You also get some financial perks through registration, such as ITCs and small business tax rates here in igloo land. Dunno about the states though. I hear the IRS loves to nickle and dime its own citizens
There have been anecdotal evidence suggesting that the Apple Store generates the most sales, or put simply Apple users don't hesitate to spend money, Windows users are down the middle, and Android users are downright cheap. It also depends on your business model. A lot of developers are moving towards the "Free to Play" model where you earn revenue through advertisements. I've read some blog posts about successes with that model, so in this case you want to target the platform with the most users. In the end, it has to be something you can do. For example, Android does not have any platform standards so you could end up having to test multiple devices to ensure compatibility. That would occupy a lot of your time away from game development.