Pros
Builds Self-Esteem - If you succeed, you did it because of your decisions and your efforts. Choice - Want a raise? No problem. Don't want to work this Friday? No problem - take the day off! Commute - Commute? What commute? You can choose to work from home. (This is especially easy to do if you're a web-based company.) Control - You decide which jobs you will pursue and take... no one will assign you tasks, deadlines, etc. Flex Hours - You set your own hours.
Cons
Long Hours - You traded your boss for dozens or even hundreds of bosses.... your customers. No Regular Salary - Could be feast or famine. But much of this will depend on you. No Paid Sick Leave - You'll have to spring for your own insurance too. No Paid Vacations - Take off for as long as you like. Go anywhere you want. Do anything you like. As long as you can afford it.