That reminds me of discussions about whether it's better to rent or buy housing... who's to say that it isn't smarter (for some people) to choose to work for someone else? What if working for yourself required you to do things like hire and manage employees?
I spent a few years working for myself and it sucked. Running a business was tedious, stressful, and unrewarding. I'd much rather work for someone else, so I can focus on doing the work I'm actually good at.