Usually there is no mandatory license to be taken for a sole proprietorship except for
Professional tax: A tax levied by State Government (mostly governed by Municipal council of the State Government) for professional or employment is Professional Tax.
Shop Establishment License is required in case of physical establishment of the business.
CST/VAT registration: If you are going to sell goods, then VAT or CST (between two states) may be needed once annual turnover crosses the threshold limit which differs from state to state.
Service Tax: Registration for Service Tax is mandatory and may be required once the value of taxable services provided exceeds 9 lacs.