My biggest problem with coding for an employer, is that they then own exclusive rights to the code. Essentially, you are solving a problem. If that problem is unique to the employer, then that is fine for them to own the code. But if the project involves writing a bunch of potentially reusable routines, such as what you might find in a third party library, it just seems awful that you can never solve those same problems again in the future (as more likely than not, you will end up typing in about the same code).

So it really seems like you are giving up a piece of your mind whenever you program for someone else. For an example of what I'm talking about, see XKCD 664.