[Pen] Going it alone is scary, but rewarding. You may find it hard the first 18 months, but you will never want to be a wage slave again. Make sure to use the tax system to your advantage. Make a fat loss (on paper) for a while, and watch out for IR35 if you get a long contract.
[Pen] Congrats! Knowing just how stupid your employer is, rather than being frequently surprised, is the best bit of being self-employed. Btw, you heard it here first, but I'm planning that by the end of 2007, I'll have converted my skittle alley into a microbrewery to supply both my own pub and the free trade/festivals. It'll be the only brewery in the City of Leicester. With pub and brewery combined, I could (just about) achieve my ambition and have a £1m turnover by 2010. Thank God only half of it will be cash!
[pen] Hooray for freelancing, for all the reasons gil said (actually I'm on staff at the moment, but I behave like a freelancer and they let me, so hooray indeed for that).