You'll want insurance. Also, you'll want insurance coverage without any break in it, ideally, or you can hit a range of problems.
There are several ways to do that. If you're really setting up on your own then you're already looking at incorporating or setting up as an LLC. As part of that, talk to a local business insurance broker about various things, including health insurance.
If you're a professional, check with your professional associations. The IEEE (which is a great organization for engineers, software or otherwise) offers group insurance to members, for example.
If your skills are individually valuable, rather than being a commodity, consider working part time for either your previous employer or a random startup. There are other advantages to doing that as you set up on your own (peers to bounce ideas off, access to resources, actual income) but group health insurance is one of them.
Don't skimp on preventative care - dental and optical in particular. If you're young and healthy and don't have kids then you can skimp on the health coverage, going for a high deductible plan and doing the risk modeling yourself - a common thing for individual insurance, which can be very expensive otherwise. But if you have kids, or are thinking about it, don't do that.
And, once you've asked slashdot, talk to your spouse. Unless (s)he is on the same page about this, as well as everything else about setting up on your own, then you're well and truly fucked, both in relationship and business terms.