For me - flexibility. I do a lot of gigs as a sax/woodwind player. For instance, a few weekends ago, my band played a small festival in Berlin, and it was a huge pain to organise time out from work for everybody. We often gig in London and need to arrive early for soundchecks, and the weekend after next we play up in Newcastle, arriving at 3pm - I'd soon run out of leave in a regular job, so being self employed, where the pupils are flexible and irregular from one week to the next with lessons is a perfect fit for my lifestyle 
