There are pros and cons but when all's said and done you probably won't make significantly more money than before. You may very well end up making less. Obviously the biggest pro is freedom to work the jobs you want, on your own schedule, and for many (including myself), that's worth what effectively amounts to a pay cut.

The cons are no paid time off, not eligible for unemployment, no employer-subsidized health insurance, no dental insurance, no employer matching 401k or other retirement program, more taxes, more paperwork, etc. Also, the sheer responsibility of it all can be exhausting. You know those days where you're just not feeling it so you slack off and read Reddit instead of working? Well, when you're self-employed you no longer get paid to do that.