Knowing that at any moment you may lose everything. The wolf is always at the door. Your best client is always at risk. It is the price of freedom.
You don’t get job security by working for somebody else, ever. You are by definition, dependent on your employer and their whims. Even if you are indispensable, you are dependent upon the performance of other people you have no control over to succeed. That isn’t necessarily a bad thing. See my Natural Dependency post. Not everybody is cut out to strike out on their own.
When you are starting out, you have to take whatever you can get. If you know you should be getting $15,000 for a project and you have bills to pay and a potential client offers $2,500 for it… you take it! You take that money, you make that client happy and you worry about charging more next time. Every time, you add a little more money and a little more money. You work your ass off from 6am to 6pm and maybe more. You won’t be making what you want right away but you have a client, you have a little money, and you have a platform to build from.
The way I see it, if I want something, anything, I have to work for that. I have to do something. It is up to me. Why wait for somebody else to hand you the things you want when you can just go out and get them?
For me, the price is worth it because, to paraphrase a quote I love, I want the things I want, more than I want to breathe. My drive to achieve MY version of success is powerful enough to outweigh the cost. If you don’t want success as much as you want to breathe, then going out on your own isn’t for you.