I suppose my best piece of advice is to start out by moonlighting. Do it part-time to start getting your references and contacts and to start honing your skills as a freelancer/contractor.

The one thing that you left out was health insurance. I am not insurable outside of a group (employer) plan so I’m pretty much SOL without a job unless go for the super expensive COBRA option.

Time – You choose your hours, yes. You’re not forced by a superior to work extra hours, yes. BUT if you want to keep a client and the client wants the job done tomorrow, you stay up until 2AM tonight. If you’ve had a rough month and then suddenly two or three clients call, you’ll want to take all the jobs even if it means that you’ll have to be working all 7 days of the week 16 hours a day. Once you have a few clients you can start rejecting jobs if they don’t suit your schedules but at the beggining, at least for me, you have to accept whatever. And this also includes salary matters. I may know how much I need to bill for a project to make it fair both for me and the client. But I’m finding every day that in this business is the client who dictates how much he’s willing to pay, so I have to accept lower rates in order to keep a job, there’s always some college student living with his parents and with no expenses at all willing to do it for half my price. (because I don’t get to negotiate my rent or electricity bill!) Having to pay your own taxes means that, even if you don’t make a single dollar in a given month, you have to pay. And that money will have to come out of your savings. Also, if you’re sick, you can’t work so, no money.
It’s great being a freelancer, but it’s not always so nice. And in these times where some jobs (like mine) are not 100% necessary (well, if they don’t dub another national geographic documentary they’ll just put an old one on and save money on translators, etc) it’s even harder.