Working for yourself means that you are not accountable to anyone else, meaning that you are in charge of your own business. In this case, you can be considered solely self-employed and you do not have to answer to your boss for your work. Working for yourself means a lot of freedom and you are the owner of your own company. It can basically be thought of as an entrepreneur or business where you are in charge of your entire company and have employees under you. You are your own boss.
It's true however, the freedom part is only true to certain extent.
Yes we have the freedom to be working or not, depend on our mood since it's our business but if we truly living off the business and the business is still on its early stage and developing, it's gonna be a tough time to have freedom at that time.
My first hand experience is that starting a business, working for ourselves will cause us to work much more often and have less leisurely time than being employed.
However, the big difference is that we're trying to achieve our dream, not paid to do something for other people.