I've been a sole trader for some 8/9 years – I do management consultancy for charities, social enterprises and public sector organisations.
Still find difficulty in dividing time between work and leisure. I find it quite lonely – though this may be due to the sectors I work in and the nature of the work I do. Also perpetual worry where next project will come from – though never really had a gap between projects. Lots of effort to get work in as well as doing it (particularly with public sector rules for tendering). Sometimes not knowing what has happened to the work you have done – I found out 3 years after a report I wrote that a recommendation I had made to a local authority had been acted upon and was a finalist in some national awards. And I still find it difficult to price my services – or spend too long on a project that has a set budget.
Good points are ability to go for a ride on a slack day, no office politics or annoying colleagues, great commuting (5 seconds from bedroom to computer), ability to set lots of biking stuff(and other stuff) against tax, ability to have more than a few beers on a school night (though obviously not too often), ability to go shopping or pop out for a coffee as the mood takes you, ability to waste hours on STW and other websites (or maybe that should be in the negatives above), diversity of projects and clients.