Started in 98 and went full time in 99. Been full time since. Well, in between there was a time I got slapped by the search engines hard, got burnt out and took a job for about 8 months. Still had my sites, just didn't work on them as much. Though working a job again reminded me why i started my own business.
Full time is awesome, but it has it's days. If your full time your probably dependent on the income. So it can put on some pressure. Plus it's very different working a job compared to working for yourself. Working a job you have to go to work to get your check and get paid, with your own business it's just not the same. You'd think it would, but it's not.
But the obvious... working full time can give you freedom. You usually will work alot (often more than a job), but you can do it on your own schedule. Depends slightly on what you're doing.
With the freedom I didn't have to "work" holidays, didn't miss family events, didn't have to work weekends.
And it's nice not to have a "boss". For me, I hated going to "work", hated it with a passion, so that was the big thing that drove me.
Also, I have always had multiple sites, never wanted to rely on just one source of income, just in case.