gaspain,
I became Self Employed. I now work in a "niche" market.
I build my own brand of PCs, and set up IT solutions for a few professional firms. I only accept business from "high end" clientele (referred ONLY by existing clients) who require "uncompromising" support. I quickly send "K-mart shoppers" (and "tire kickers") to K-mart.
The hardest part in starting out is NOT getting caught up in the "low bidder" market. Everybody loses in that world. The customer gets a cheap product, but no support, because the vendor eventually goes broke.
If a new client wants me to "bid" on a project, I give them Gateway's toll free number and tell them to call me when they get sick of all the screwed up crap they wind up with. I actually make more money fixing "cheap systems" than I do selling my premium setups. I have a HIGH return rate.
Being selective and keeping your client base SMALL is the key. This is VERY hard to achieve in the beginning, so make sure you have a decent size reserve to live on for a while.