PROS : Being your own boss allows you to set your own pace of life. You always know its your own fault and cannot blame others. You have perfect control of your business. Motivational factors are far superior to those of an ordinary job. You can always progress and add new practices to your business. I started out with my own sporting goods gear, but today have businesses dealing with military gear, martial arts gear, marketing and advertisement, consulting etc. The sky is the limit.
CONS: No work no pay. There is no 15.th of the month for which you drastically wait to get your paycheck. That is probably my only CON if you can call it that.