Advice for New Media Freelancers
The Professional Contractors Group has lots of good advice and services for freelancers. Including a Guide to Freelancing covering many tax issues and information about going Limited or starting a Limited Liability Partnership (LLP.)
Steve Friedl's article So you want to be a consultant? is very useful and worth reading. It's got a slight American bias, understandable since that's where Steve does business, but contains a lot of good advice about looking after clients and the basics on how to run your work as a small business no matter where you live.
Freelance Advisor is a new site holding podcasts and (shortly) articles to help freelancers and contractors. It's worth a look.