Owning one's own business.
For me personally, going out on my own was not an option, it was a necessity if I wanted to make a decent living. If you have a decent sitution for yourself, that is great, but many do not and are really suffering.
Sadly, things are not like previous generations. Businesses demand loyalty but have none themselves.
Although it is hard and nerve racking, I could never see myself working for someone again if it means putting up with nonsense, office politics, BS claims of a bright future and pay raises, etc.