Friends often ask me if I miss working for my former employer. No, I don't; I do sometimes miss the people but not the other stuff. Working for myself, I've found the Freedom, Choice, and Flexibility I've always wanted.
Freedom: No heavy traffic, low gas prices (I fill my tank about once a month), lunch and bathroom breaks (it's nice not to need someone to cover for me before I can do either one. Even better, not to be told I have to wait awhile). I now have the ability to have lunch with someone, even a business lunch, and take longer than an hour or less.
Choice: clients/projects are the ones I want to work with/on. Being able to decide what hours I work (and when) makes me do a better job. Reason: I'm not tied down or confined to a certain schedule and therefore I'm more relaxed. When I work hard, I get the credit in the form of decent money and happy clients.
Flexibility: Being able to participate in family events such as attending a school play is so much easier now, because I don't need permission to leave early or to have someone cover my duties. I travel a little more because my work can travel with me if necessary.
The ultimate benefit of working for myself is I've found the joy I had when I first started working for my former employer. Now I once again love my work and the people I work with.