Yeah I'm happy on £60k a year and taxed at 40% when I could be on £600-£800 a day.
Three things: 40% isn't paid on the whole salary
£ 800 a day is nice if you can get it but you can't always and it gives companies an incentive to get rid of you when they can
From the £ 800 you have to put more aside for your own travel, training, pension, healthcare, holiday and unemployment benefit. So, while it is indeed nice, it's not always as nice as it might seem.
FWIW I am self-employed and have some experience in this area. Being self-employed suits some people more than others. Choosing it solely for the money is short-sighted and stupid.