Totally agree with you. Sometimes I dream a bit about having my own company, but when I look at the hassles the owners of my 3 customer companies have, I am grateful that I get to work with 3 groups of talented and interesting people, potentially learn 3 times as much on the job, not as many hassles, and have a "diversified" work base. I won't get rich consulting but I still count my blessings.
