I did it, but...
It is a scary thing to do, but I took the step and I've been doing it for a bit over twelve years. My reasons were different. I'm not an advocate of "at will" employment doctrine, not having any choices / decision making abilities, being dependent on a company for a paycheck and benefits and they hold it over your head as a tactical tool, performance reviews without them being reviewed, politics, chemistries, personalities, cultural fitting, etc. In general, don't particularly like authority figures and prefer to manage rather than being managed.
To many, I sound a little bitter and angry. Yes, I was. I didn't like the way some (not all... some) businesses treat people. As a consultant, I see the ugly underside of business and the way they treat their employees. Some employees are so scared, they can't even get up in the morning to go to work. It's not a pretty thing to witness. But that's me. That was my motivation. Yours may be similar or different, but either way, you need to decide to take the chance.
The toughest part is between projects. It is hard to sell while you're on a project. No matter how proactive you are, market forces and economic conditions dictate closure velocity (IOW getting another project). Has it been satisfying to me? There are a few painful aspects about it, but once you settle into it, then overall, absolutely!!
