I live entirely in the consulting space working on SEO/SEM and content marketing, and have done so alone since 1997. After a few pivots in web design, hosting and domaining, I've ended up in a place where I can be picky with clients and charge good fees. I hit the website development market on its first big wave, and moved into search before 99% of other SEOs even knew the discipline existed (and before some were even out of elementary school!)
I make much more than a full-time employee would, but there is a lot of bosses and stress comes in waves. I have learned how to fire clients (hard to do) and how to size up opportunities. But the company is me. It's not saleable - no intellectual asset exists beyond what I bring to the table. So it's never going to have an "exit." This is my main gripe.
Also, I relocated to Kentucky after writing tons of code in The Valley and ended up in Lexington, KY - a great university town with a highly educated population (and a Google eCity.) This has offered me a nice lifestyle, plenty of time to raise my kids and material rewards for probably 60% of Santa Clara's cost. My company is at http://www.buzzmaven.com. Good luck!