I am self employed, doing software development/IT consulting. I had been consulting as a side gig to increase my savings rate for a number of years, and had hit the point where my side work was effectively a full time income covering at least my basic costs of living. At that point, the company I had been with for seven years suddenly and somewhat unexpectedly went out of business over the timeframe of just a couple of weeks. It was my consulting work that kept food on the table and the bills paid.
At that point, I spent almost seven months looking for other work "for the man," with surprisingly little success given my skills which are pretty in demand. Offers came in, but they were either insultingly low or otherwise had serious limitations (commute, etc) attached to them. It finally dawned on me that I wasn't having nearly as much of a hard time finding consulting work and that, even though it required a little hustle to keep contracts coming in, I could pay myself the benefits that really mattered to me (401k match, health insurance), deduct those expenses, and still bank more than when I was working for a company as a full time employee. On top of that, the Individual 401(k) allows a sole proprietor to be the employer and the employee in his own plan, and bank up to $52K pre-tax per year! This alone makes self employment the ultimate vehicle for early retirement in my opinion. If you can max the whole amount in a Solo 401(k) (oh, and your spouse can partake and you can put away *104K* combined per year, ka-ching!), you can hit FIRE in a fraction of the years you might when working for someone else.
It's not all sunshine and rainbows-- you have to be very mindful of the way your treat your colleagues in a way that you don't have to be in full time employment-- you learn to think of them as your customers instead of your co-workers, and excellent customer service is essential. It can be feast or famine when finding work, and it took me about 6 months of solid beating my drum before my second long term contract materialized.
Another advantage is that as soon as we could afford it, my SO and I could pack up and move anywhere, as all of my customers accept 100% telecommute from anywhere. Right now I make California money with California costs... but we're going to do something about that ASAP.
So... yeah, if you're in an in-demand field with high earning potential, I strongly suggest trying to build a customer base and considering self employment.
Edit: Another big benefit that doesn't have a dollar value is that my stress level is at an all time low. I get to get up on most days, make my breakfast, sit in my office with my dogs, and spend time with my favorite animals in my own home. I'm working... but I'm always comfortable. I work out all the time, make my own hours, and otherwise control my own destiny, so I feel like I'm already getting a huge benefit that many aspire to get only after RE.