About the only thing I miss about working for a biggish organization is being able to just walk out the door for three weeks at a time and not have to think about it at all during that time.
Working for / by yourself has huge benefits too, but the major drawback (certainly with my type of work) is never really being able to just abandon it - even if I take 5 or 6 days of holiday I'm probably going to have to deal with some problem or other during that time.
Christmas and New Year are definitely the best time of year for me to take time off though as most of my customers aren't really working then either, quite looking forward to it!