They are all currently in my personal name.I was considering putting even a $2M umbrella policy to provide personal protection.

Large businesses normally set up companies within states such as Wyoming, Nevada, Delaware for reasons such as charging order protection or friendly business case-law.None of these reasons apply to small investors.If you decide to go with the LLC, I would consider setting it up in the state where your property is located in.

Not sure if we should form an LLC for liability protection or just have it in our names? 

This topic was about when to form the LLC and gives some insight into the liability protection (or lack there of as the case may be)http://www.biggerpockets.com/forums/12/topics/24474-forming-llc-?

Or you can own the properties in your own name and get the superior financing available from Fannie Mae.You need to decide what fits your situation better and what is more important to you...better liability/asset protection or preferred lending terms.

I assume they're either not yet under BK protection -- or filed long ago, didn't make their BK payment schedule, and got foreclosed on anyway. 

There was No umbrella of protection or liability.

Are you thinking more about asset protection or the tax implications?

It's also a mistake to consider the expense of maintenance of an LLC as a deterrent to this protection or to believe insurance is all that is required.  

They potentially could also do it for asset protection or credit purposes.