How much due diligence did you do before you took the leap? I assume you did consulting before you left the States.
My half-baked plan is to move to a Latin American country, learn Spanish in the mornings, code in the afternoons, party in the evening
Honestly, it really is a weird feeling. I always hated working for other companies, but felt that I "had to" because I was afraid of taking the leap. (and yes, of course, it is more secure/stable/etc)
But yes -- I definitely did not go into this blind. Freelanced in the states for 2-3 months to make sure I could get enough work.
It helps that I had a buddy who lives here. Otherwise I honestly would not have had the balls to do it. (foreign language + trying to score an apartment? ouch)