I think that registering a Trade Mark is costly compared to owning a domain name. So I think that as long as you secure the .com for your brand (because in the US people can claim the brand after you first published it, but they would want the .com) and publish content containing your brand name you can avoid the need to register a Trade Mark.
In the UK/Europe, I believe that simply being first to publish a brand name is enough to secure ownership.
Well it's safer to trade mark it, but when I'm unsure of things, I first get the domainname and build something on it before trade marking it :).
You can register a company name or brand in individual states in the US. That prevents anyone else from registering a company using the same or a similar name within that state, but doesn't protect a trademark. This is different from setting up and registering a company. The last time I checked the cost in Arizona was about $15.