Definitely make sure you incorporate. It will allow you to write off lots of goodies come tax time. Home office space, leasing vehicles, electricity, phones, etc, etc, etc.
The one downside to consulting in my experience is that if I am not clocking hours, I'm not getting paid. That 3-5 weeks paid vacation a year is a nice little perk. Make sure your rate compensates you for the forgone wages, lack of job security, benefits etc.
If the rate is nice enough, I sense golden handcuffs in your future. Welcome to the dark side of consulting
