In addition to what Bill said, talk to a tax preparer long before April 14th. Some tax benefits can only be enjoyed if you take advantage of them before Dec. 31 (or whatever the last day of your fiscal year is).
A 3rd reason why self-employment is not as glamorous as most people think- you don't get paid time off for vacations or sick time. It's very simple: you don't work, you don't get paid.
A 4th reason- cash flow fluctuations. Even when you're working your tail off for clients, if they don't pay on time (or at all) you're left without money you were expecting. Poor cash flow is one of the major reasons companies have to close.