Oddly enough, I'm in the opposite situation: I've never held a serious job that wasn't, in some way or another, working for myself. (Other than 4-month co-op placements as a student.) The opposite experience will be interesting to try out.

I'm really the opposite. After starting and being a member of several startups, I'm on my last. While I've had profitable exits, nothing that I could retire on (and still feel really comfortable).

And I've had friends in industry move up the ranks and get high six figure salaries and multi-million dollar bonuses.

And I sometimes look at the hecticness of startup life and think that I'm finally getting too old for it. And while the idea of working for myself is a good one, I've always felt like I was working for someone -- just this person never told me who they were, what they wanted, or when I'd be paid. :-)

If you've never been an employee before you should certainly try it. Even if it doesn't suit you you'll understand the tradeoffs of self-employment vs a regular job a lot better.

Personally, the only thing I miss is the social environment of the office.