the trouble is advertising yourself, i think.
somehow your customers need to know about you - if you don't work for a company, you'll have to spend more time marketing and selling yourself than actually designing.
generally, companies would rather pay another company for banners and such, rather than random individuals.
it sucks, but that's how it is.
again, i don't actually know, but i reckon that's it better to start working for a company, they can pay to train you up, and give you valuable experience. once you've earned and saved up some money and know the industry better, then you can break free, start working for yourself, and if you're successful and good at what you do, you can set your own company up and start hiring your own staff.
but then again, who knows what things are going to be like in the future?