If you have to ask, it probably means that you may be short on the skills and knowledge to start your own agency or service offering. That doesn't mean you can't do it, but be prepared for an up hill battle. When you work for someone else, you learn the pros and cons of doing it on your own--as well as getting a glimpse of all the moving parts of running a business. I had worked for a variety of companies before hanging out my shingle. It took many years of hard work and a lower salary before the company really started working right, and even then, we probably continued to make mistakes (small and large) for the first decade. When you start your own business you need to be able to actually perform the service you offer and do it well. You also have to understand and perform some level of business management, financial management, specific business processes that apply to your service. Winging it can work, but remember people pay for expertise, not just passion. You should also realize that running your own show is more than a full time job (sometimes it is 3-4 full time jobs), so make sure you are truly passionate about what you do, so you can weather all the not so sexy/fun work that comes with running your own business.