You earn more. It won't be easy to build, but your income is going to be way higher than any employer would offer you. You may notice instability in your income stream, like seasonality, especially in summer if you're a teacher, but after 3 years being in the game I can tell you that in good months your income will be way higher than in employment, and in bad months it'll still be compatible with what employment would offer.
You are your own boss. You get to schedule (spend time with your friends, workout, choose working hours that work best for you), organize your working space, appearance (haircut, wardrobe, jewelry, makeup, tattoos), cut bureaucracy to its minimum, and apart from tax statements, no excusing, reporting to anyone but yourself. You don't need your boss's approval if it's an emergency or special event. You won't be forced to deal with what you hate, unless you believe there are reasons to do so.
You can never be fired. Ever. That's something you can cross of your worries list straight away.
You are flexible – you can hang out with a friend you haven't seen for years on a Monday afternoon. You work where is best for you – not in an inconvenient location you hate. You don't have to wait for promotion or for permission to grasp an opportunity – you want one – you get it. Fair and square. You get to travel and see the world if you choose to.
You live longer and healthier. You do not have to sacrifice your workout, sit 8 hours a day, get home tired, not have time to address medical issues, which translates into a healthier, longer life.
You work for yourself, not for someone else, while getting peanuts for it. You get EVERY day to yourself, not giving up five days in exchange for 2. Success is that much tastier, when it's all yours. Pay yourself first.
You will have to develop. You will always feel you can be better and you must – you're left with no choice but to improve: the moment you decide 'I'm good as it is', it all goes downhill. It's lifelong learning. You generally become more confident, independent, intelligent.
There are now more opportunities than ever – the internet is at its historic high, and there are no signs of that fading soon – you can deliver your message to the entire world. There are also tax benefits: in the UK, the self-employed pay tax on their profit, not total income. This means that the Self-employed can offset some of their expenditure against tax. They can reduce their taxable income by deducting certain expenses that are exclusively for business purposes. In Russia the tax rate for the self-employed of 4% on services provided to individuals and 6% on services provided to firms. This does have some limitations, like not being allowed to hire workers and it only works for income under $3,175 per month (which is more than what most people earn in Russia), but compare that to the 13% income rate employees have to pay.
You will be valued if you're self-employed and succeed
This is not to say that all employment is wrong – if you're happy in your employment, enjoy your job and it's helping you achieve your goals - that's great. The reason I wrote this is to give a better understanding to those who could achieve more of their goals by becoming self-employed.