It probably depends on the industry.
In my own experience, when I worked in the accounting industry for "the man," I sat in a windowless cubicle all day, alienated from my work, never interacted with clients, and participated in a morale-killing annual review process. The entire system seemed designed to convince me that I wasn't good enough - not good enough for a raise, not good enough to talk to clients, not good enough to control my own schedule. Then when I tried to take my paid vacation or sick days (which did not roll over to the next year if unused), I was always told it wasn't a good time, or treated like management was doing me some kind of favor for "letting" me go to my grandfather's funeral or whatever.
I have a completely different experience with working for myself. I actually make more than I did previously, but I do work harder because I'm more emotionally invested in my work. My clients like me and give me a lot of positive feedback. It's still never a good time to be sick or take a vacation, so I often end up working a little bit when I'm "out of the office." My morale and self-esteem is much higher.
But I've advised some of my clients to quit and get a "real job". It most often happens with trades - where they don't do a good job managing their billing, expenses, cash flow, so they're working a 40+ hour week, but they're not making as much as if they would just go get a W-2 job with benefits and paid overtime. Plus they have more stress.
It all depends on the person and the industry.