My mom has been self-employed for as long as I can remember. My dad has been too, but it's more off and on for him and he has taken several full-time jobs as well as on-site contract jobs throughout his career.
Personally it seems like more work than just working a regular job. They make pretty good money, or at least they have, but their income varies a lot. They have to pay double the Social Security tax (since normally your employer covers half), they have to pay for all their health insurance out of pocket which is very high when you're in your late 50s, and there can be long dry spells.
Basically the way the laws are written highly discourages people from trying to strike out on their own. "Land of Opportunity" my ass, you get fucked if you are self-employed.