In writing, my experience is that once you have even a single feedback, it will start to pay well. My best experience has been with Elance -- and in fact my best clients are all from there. They own the provider/buyer relationship for one year, so now I have a number of excellent recurring clients who are all mine -- I even gave Elance a few extra months before moving them off :). I have been a full-time freelancer for five years now, part-time for about two years before that.
Personally, I think very highly of quality bidding sites, but check over the fee structure very carefully. If there is nothing to keep people from simply bidding on everything, run away fast. I love Elance because you are charged for every proposal you write, which means that you are only competing with a few other people. A well thought-out proposal goes a long way, as does learning the "red flags" that people say that tells you NOT to bid -- i.e. "this is a simple task for someone who knows what they're doing" (this is, invariably, someone looking only for the lowest price).
Going out on your own can be a very tricky proposition. You have to learn to really think outside the box of people to market yourself to, especially if you're approaching established publishers. Whatever pops straight to mind, probably also pops straight to every other freelancer's mind too. It can be very rewarding if you find the right match, but is often very heartbreaking in the pursuit.