After one year I started to get very bored. In my free time I picked up Ruby and Rails and finally could not stand Enterprise Java and ABAP (SAP) any more and quit my job. I didn't have any freelance gigs set up yet, but I knew that I wanted to work with RoR.
Through a mailing list I landed a job at a Rails-startup and started to work there for about 300 Euro per day. Freelance. They didn't care if I was a normal employee or a freelancer, so I just said I want to freelance.
It was the best decision I have made in a long time.
First of all working for a startup you learn about 10 times as much as for a big company. There's just more stuff that needs to be done. From tweaking the database to writing front-end javascript. My colleagues were great tutors and especially through several sessions of pair programming I picked up some good skills that would otherwise have taken me a much longer time.
I also decided to work only 4 days per week, on average, which left me with one extra day for my private projects. While the jury is still out if we will succeed, it was a very comfortable situation, since I could work two days on my own stuff (Fri + Sat) and have the Sunday off.
Today I work for 500 Euro a day for a larger company that decided to use Ruby. They don't really care when I show up as long as the work gets done. I don't get called to as many meetings as the regulars and I know in a few months it will be over and I'll be working on something completely new.
Job situation: It's not "totally awesome" but by maintaining a network of other freelancers I'm never out of work. If one guy is engaged and gets an offer, he forwards it to the others, and vice versa. I'm not afraid I'll get in a financial crisis any time soon, because I have very nice savings and because I can always get a regular job for a big company, should I ever run out of offers.
I think it's important to stay up to date on new things (say the new RoR version or interesting ruby gems, nosql databases or caching methods), because a part of my job is consulting and offering suggestions, but that is easily done by reading blogs, watching some Railscast now and then and monitoring sites like HN.
So my suggestion is: Go for it. If everything fails, you're still a software engineer, a currently very sought after profession. (I assume it's the same in Scandinavia.) Remember: A regular job isn't very safe either. If the economy collapses you can still be laid off.
Todos: Find out about insurance and taxes. At least in Germany you're basically leaving the social security safety-net when becoming self-employed.
And yes, a long commute really takes the joy out of life. Quick tip: Get a kindle, use Instapaper to sync articles and read them on the train. ;)