I have done both and these are some of my impressions.
You normally get paid more with consulting. The companies i talk to give me the free hand for as long as i work within the agreed budget. If i hire another programmer that means i split the cash - so at the moment i work solo. (Of course the company thinks i am working with two other programmers). In the first few months i really enjoyed this freedom. The hours were mine. I worked at night and slept by day - or worked when i felt inspired. No more managers to answer to, no more junior programmers to coach. No more 1 hour commute, no traffic, no parking, less gas expense.
After a month or so ... these are some of the things i don't like. I miss people around me. I miss the 10 minute coffee break. I miss the lunch in a group. I (sometimes) miss waking up early to be at work at 9. (I get up at 12).
During the dry period when there are no projects - do what you want. Take another cert. Take your masters. Trade stocks, options, bonds, currencies. My worst trades were due to my 9 to 5pm job.
You will also have to seriously look at the downside. These days companies can change their mind in an instant. The five companies that really sound interested may be reduced to none. It is a good idea to get a downpayment before starting any project. I ask for 50% down.
In the next ten years i see myself moving more into education. If I lose my trading stake i will really have to get a 9 to 5 again. If all goes well i think i can retire into teaching before 45. Now to find something i can short.