OK, from just being a player point of view, go self employed. You'll have to pay class 2 NIC and obviously be taxed on the earnings. The plus side is that you get tax relief on tools and expenses - e.g. mileage, basses, amps, mobile phone costs, insurance, etc... etc... Paying tax can be good because it gives you tax relief on your whole income if you start buying stuff - you can end up with a rebate at the end of the year. But remember... selling stuff also has an implication...
With regards to being a business, you could have one person that runs the band as the business and pays the others as contractors... There is a disadvantage to this.... so.... OR you could all form a business with you as directors. Advantage of this is that you can pay yourself dividends which is more tax efficient. HOWEVER, make sure you draw up a a shareholders agreement that stipulates that if a member of the band no longer plays in the band, they have to relinquish the shares. Nobody likes a squatter expecting dividends.
I'm not sure of how much money you are expected to earn but you may want to be wary of the VAT threshold. You may want to deliberately stay beneath that. There's ways around this but I'm not qualified to advise on this.
In short, get yourself an accountant - they may seem expensive but they will save you far more than you will pay them.
Hope this helps.
Oh - and do your books as you go along. Much easier than trying to do it at the end of the year...