Hey, I freelance in Auckland as an Art Director/Designer. I only went out in October and at the moment am working through an agency who gets my work for me and has a cut of my rate. I have seen quite a few people in the advertising industry go freelancing this year and I think it will be getting more and more popular.
I think that the good thing about freelancing is that you go in do the job and you leave so you don't get involved in the politics etc.
Cheers