It totally depends on your setup, what you're able to negotiate, and your goals. Let me tell you why for *my* situation, I am and will remain a contractor for as long as possible.
1) Companies figure 30-50% overhead on W2 employees for benefits, payroll, taxes, and other miscellaneous costs. You can and should at *least* negotiate 20-30% over the equivalent hourly rate since you are providing them this means of saving. I can, I have, I do. I pay myself only medical benefits, minimize my taxes (more on that in a sec), and end up walking away well ahead of where I would be in the same job as a salaried employee.
2) I try to negotiate my contracts as a weekly rate, inclusive of company holidays, to allow me to still be paid fully on weeks like Thanksgiving, Christmas, etc. Sometimes I can, sometimes I can't. I still come out ahead.
3) I deduct EVERYTHING. Mileage when going into the office, every pen I buy, annual fees for my business cards (which also conveniently earn me huge miles), etc. If you are set up as an S-Corp, you can deduct the employment taxes as well.
4) The holy grail: Individual 401(k). I have a very high savings rate and a pretty high salary, so I can save and pax NO TAXES WHATSOEVER on up to $53,000 per year, because as a S-corp or sole-proprietor, you are both the employee AND the employer of your 401(k), and you can provide "company matching." If you are saving large amounts, the Individual 401(k) may make all the difference in the world to you. I slash my tax bills and save a huge amount in a 401(k) that I control myself-- thus it is with Vanguard, in exactly the funds I want. No HR manager or fund company scammer can tell me what funds are available!
I wrote a blog post about my Individual 401(k) experience that might help you understand the math so that I don't have to go into it here.
http://frugalvagabond.com/2015/08/27/individual-401k-ultimate-early-retirement/Obviously there are down sides to contractor employment-- no unemployment coverage or other benefits, not getting paid in most cases if you take a vacation, having to keep track of and pay your estimated taxes, having to send invoices and monitor their payment, the fact that unpaid bills aren't secured debts if the company goes under, etc., but by and large, it has been a huge boost towards FI for me. I put away about 3-4x more towards retirement, into better accounts and better investment options, than I ever did as a W2 employee.