Being in the right niche makes all the difference. I know plenty of consultants who have chosen a very general niche, and as a result, struggle to find work and are paid a much lower rate.
I happen to be very fortunate to be in a tiny niche which pays quite well (database/software consulting for law firms who use a specific enterprise application). As a result, I work less, make more, have an easier time finding work, and am less stressed about my employment situation. In fact, I haven't had to look for work in the past 12 months, since clients have sought me ought instead of me having to seek work.
Since starting my consulting business 5 years ago, I've QUADRUPLED my former day job salary.
The whole reason for this is because I'm in a very small niche. You can be in a niche (e.g., Ruby on Rails), but to make things easier for yourself (i.e., have plenty of work, have a high bill rate, have less competition, etc.), you need to be in a very focused niche. In my niche, there are probably less than 3,000 potential customers, and literally a handful of competitors. And given that the clients are extremely profitable (law firms), that--in addition to my specialized knowledge & experience--means that I'm able to charge a high bill rate, which, in turn, means that I can work less to make the same amount as someone with a lower bill rate.
Finding a profitable niche is sometimes a matter of luck--as in my case--but it's also possible to find profitable niches by doing the right kind of research. I talk in detail about how to do that on my blog.
Lastly, compared to one of the other comments, I spend roughly 15% - 20% of my time on non-billable tasks, and I keep that as low as possible so I can focus on billable work.
You can check out an interview I recently did where I talk about how I made the switch from employee to consultant, and where I talk about some of my initial fears & doubts, and give actual income & rate numbers.
StartMyConsultingBusiness dot com