The Other Side of Self-Employment
Brazen Careerist also linked to David G. Blanchflower, another economist looking at happiness. From Self-employment: more may not be better (PDF):
"It does seem likely that people have an unrealistically rosy view of what it is like to be running their own business rather than staying with the comparative security of being an employee. A surprisingly high proportion of employees say they would prefer to be self-employed. Despite the fact that very high proportions of employees say they would like to set up their own business the reality is something else."