Creative types don't think about stuff like investments, insurance, and file backups. That is, until they're 65, sick, with no money in the bank, and their hard drive just crashed. This is stuff you must consider.
Since recording this, I've learned about the Freelancer's Union, and I just became a member. It's rather NYC focused, but there are plenty of benefits for the rest of us too. http://www.freelancersunion.org/