Not having a boss/ being your own boss
Most people become self employed to become their own boss, even if they say or even know that is the reason they do. Being self employed and being your own boss is both a pro and a con. It allows you to decide what products you want to sell, who you sell them to and when you want to work. The con of being your own boss is that you have to be self motivated and sometimes you have to make the hard decisions without anyone to blame for bad results but yourself.
In reality when you are the boss whether that is as a professional (i.e. an accountant, stylist, contractor, or even a solo dentist) or have a small business that you run with employees your customers become your boss. However, they are not a boss in the same way and there are ways of staying in control your business and career such as deciding on your policies, writing them down and sticking to them. This may include the hours of your business, the time frame of a project or even the amount of a fee. These are just a few solutions to very real and difficult problems that people face being self employed.
More exposure to risk
Many self employed professionals and businesses shutdown not due to a lack of business but to a lack of preparation and care towards managing risk. This is something that large companies spend of a lot of time managing and mitigating. There are many forms of risk that small businesses are exposed to from improper licensing, tax issues, legal regulations, natural disasters, human resources, as well as general liability such as a customer slipping and falling in your store. These can be mitigated with proper preparation and spending enough time with your team of professionals (accountant, lawyer, insurance agent, etc). It pays dividends to find good and honest professionals who can give you proper and adequate counsel on the risks that you are exposed to as a self employed professional or sole proprietor.
Lack of security
A major con of being self employed is the lack of benefits that come from being an employee. Many employers have benefits such as paid vacation, matching retirement plans, and most importantly the group insurance plans for health, dental, life, vision and more. These are very real compensation that must be weighed when or if you are considering being self employed. There are options though such as self employed health insurance and self employed retirement plans.
Another major thing to consider when considering being self employed is a paycheck. Most companies pay their employees on time and regularly. This makes planning for the future easier for you and especially when applying for loans.
On a positive note you never have to ask for a raise because your income is just as hard as you are willing to work. This is very enticing for many people who work hard and are very self motivated.
Being self employed just like being an employee has its pros and cons and you just need to understand what they are and weigh them against each other so you can make the best decision possible