I work as both a freelancer and for an agency. Times are tough in both worlds. The trade off between the two is that when you clock out for the night at an agency, you can go home and bugger off. In freelance, you are *always* on the clock. And your service can not stop at the launch of the site/project. There's tech support, and a host of other things.
If you do jump into freelance, here is what I would suggest.
1. Have your contracts set before you take on the first project. A contract outlines exactly what you are to provide and what is expected from the client. Your contracts should cover content delivery (from the client to you). Terms of payment. Legal mumbo-jumbo, etc...
2. Have a few hosing options/suggestions available to give to the client. If you recommend a host, and they turn out to be bunk, *your* reputation will suffer.
3. Have a spine! I can't count the number of developers that I have seen burn out because they let the client walk all over them.
4. Feature creep is a big no-no. It may take you a minute or two to add in something beyond the original scope, but don't forget the time it cost you to learn to do it. Whatever "it" is. Client's also like to play dumb. Once you deliver a project, they tend to say, "I though it was going to be this way. Not that way.". You can never pose too many questions too your client. If you forget one key point, you will have to spend time, both in consultation and development, to remedy the problem area.
5. And, if the client asks for the pie in the sky, and you deliver it, they will also require a significant amount of training. As an example, I recently built a job board system for a recruiter. He asked for all the bells and whistles. And he received them. He paid me a lot of cash for this and now the site just sits there because it is not MSWord, or some other no-brain application.
Personally, I'd rather freelance. My boss charges upwards of $70K-$90K for some of my bigger projects. I'll go home and crank out the same work for a freelance project for a fraction of the cost. My boss may make bucko-bucks, but *I* make the same amount, if not more when I freelance. The buck stops at the big-man's door. If you ever want to make it big, you either have to find an agency that gives it's developers a portion of the profits from completed projects that they worked on, or strike out on your own. My goal is to go my own way and start my own company.
Good Luck!