IMO the biggest benefit of consulting is taxes. Before consulting I paid about 1/3 of my salary to income tax. Now I pay 1/5 due to the fact that I can now deduct many things when they are work-related (my home office, supplies, improvements), my cell phone bill, my laptop, insurance, and so on. Of course, 1/5 of a consultant's pay is greater than 1/3 the pay of many employees, but still it's 1/5 so aaaw yeah.
Another benefit is the fact that I am mostly insulated from corporate politics. I don't care much for corporate culture, so I do my work and go. I don't attend company meetings or picnics or any of that stuff and don't want to.
My schedule is my own. I work on deadline. For safe measure I always pad the deadline, like Scotty does on Star Trek (whenever Kirk asked how long it would take to modify the warp drive Scotty always multiplied the time by 4 to account for the unexpected which always occurs). I can work in the middle of the night and sleep all day if I want.
I can take as much time off as I want. I'm not sure that this is a benefit, since every day I take off is one day I can't charge a client for… And since I always do math in my head, I calculate the money I'm losing by not working thus I tend to work a lot; however, I took 6 months off to travel every country in Central America. Also went to Africa (twice, need to go more and see those mapouka dances again). Middle East, China (4 times), Japan (13 times), all of Europe… Eastern is my favorite. I like to take looooong trips so when I get the itch I don't renew my contracts, I just go after my deadline is met and don't sign a new contract till I get back.
I contribute to an IRA which is capped according to IRS regulations. I also contribute to a health savings account, you really really really should do this (thanks Rich and John for recommending this, I owe you guys). Check out http://www.ustreas.gov/offices/public-affairs/hsa
Did I mention the salary? It is what you make it, you have to be competitive of course but you also can make a lot of headway if you are strong in what you do and if you interview well or make a good impression on your clients. On an average year I make about 2x to 3x what I would as an employee.
I don't recommend consulting for the family man, unless your spouse's job provides benefits. Me having my own bills is one thing, you having yours + your family's is another.
