Perhaps the most compelling reason for working for yourself is that it pays better. As a wage slave, a significant portion of what you "earn" is taken by your employer. That's why they employ you, after all. They make money by doing nothing.
In the beginning, independent income is risky and difficult. The allure of the paycheck is its (illusory) dependability. Every two weeks, you get that check. Most folks seem to like that routine, even though it enslaves them to boredom, tedium, and 40 hour a week imprisonment.
Its much better to go your own way. To be sure, in the beginning its tough-- you've got no income so you must continue with a wage slave job while at the same time doing your new independent vocation.
Its been a tough six months for me as I've done this. I become frustrated because my wage-slave job takes so much of my time and energy... making it tough to do everything I want to do for my website.
And yet, the thing has slowly grown. I've reached the important milestone where the site covers my basic, rock-bottom living expenses.
And while its not much, if I calculate that income on an hourly basis-- I find the site is paying me 2-3 times more per hour of work than any job I've ever had.
This is important-- because it shows that as my micro-business grows I can get a reasonable income without being a slave. When the time comes to do it "full-time"... I'll be able to leave wage-slavery for good... and devote a very reasonable 12-20 hours a week to the micro-business. Of course, as my own boss... vacations, rest days, road trips, sabbaticals, summers off, and the like are mine to choose whenever I want them.
The bottom line is this-- though it seems risky, and though it can be difficult during the first year or so... the best way to economic freedom and self-reliance is through micro-preneurship. Start your own tiny business. Do it now. Work on it a little, part time, for a year or two. Grow that seed and you will one day be able to break the shackles of wage-slavery for good.