Rick, I've been self employed since 2004. Granted that until a year and a half ago I had the support of WH, but now I'm doing it on my own.
One thing I've found out about being self employed is that it confronts you with every single demon you ever had about yourself. In that way, it's also a really great opportunity for personal growth.
Also, I've found that while I've seen some pretty bad behaviour (and been on the receiving end of it too), your attitude will carry you through. People know me as incredibly positive and very passionate about what I do, and I know that *that* gets me work.
I don't think I can add anything more to what Maybell said above though...really great post.