Skot,
I had to go self employed when I was laid off 2.5 years ago, and its rough.
But thankfully my wife was a good pre-planner so we got by on basically an 80% pay cut.
Lacking business in general made it hard, but if the work is there and you can do it, then do it.
I'm actually back at my old office for financial reasons (they had another employee retire, so they gave me first crack at coming back).
All things considered, I'd much rather work for myself in a good market. Even if the pay was less and the hours longer.
As a side, my boss will allow me to continue free lancing because there's not much of a chance of me stealing his clients.
