I`ve been on my own for about 20 years.
Here`s what I regret:
Not realizing I really am more of a self-employed type early on. Had I been confident in knowing that I`m not a corporate type instead of listening to those who would want me to be a corporate type, I would blazed ahead a lot faster. If you are certain you are a true `do it yourselfer` type, don`t let naysayers stop you. I stopped and started, and lobbied for corporate contracts only to be miserable when I got them. (It was just like being an employee only without bennies.)
Not setting up a retirement (SEP or other) plan sooner and paying myself first. Times can be lean for self-employed but it`s important to remember to pay yourself first, regardless. That will assure you that you don`t have the `I should have worked a government job` blues when it comes closer to retirement (if you want to retire).
Not setting up a good social support system early on. Working by myself for myself causes you to be somewhat isolated at times and it`s important to schedule social lunches and to get out and network....
Not doing more networking. It`s important to join the Chamber, the BBB, etc. not so much for what they might offer, but for the people contacts and the feeling as if you too belong and are a business person.
Not planning, and re-doing my plan each six months (or more often). Business changes and you really have to have a plan. It`s easy to get swept up in the immediate business, but that causes you to loose focus or to follow someone else`s needs.
Not knowing when to cut out crappy clients, thinking I needed them to start. I didn`t and they cost me more in time and angst than I realized. Also part of this is setting a ceiling, both high and low in terms of what I felt my time was worth. Oftentimes starting out you`ll take any ole job. Don`t. Pick a price range and stick with it, then go about cultivating those clients in that price range.
Not catering to EVERYONE. It was hard at first, but really you need to find out who really is your customer, how much they buy/purchase, their turn over rate and average sale.
Asking for help and carving out time to continue to learn about business. I didn`t go to business school, and am relatively smart (aren`t we all!) but I realize I could have really used some business classes early on. I read a lot, but going to college might have helped me.
Not conferring with others who have been there/done that. StartupNation is good as is SCORE.
I`d also recommend making sure you have done the Startup Nation Life plan. That was very, very helpful.
Hope that helps!