One of the most difficult challenges of private practice is finding consistent referral sources. Come up with a marketing plan and secure a few referral sources before you hang up your "shingle." (Read Private Practice Marketing Made Easy)
2) My only overhead expense will be leasing office space
Not so. Plan on buying software for billing and record keeping, malpractice insurance, business license, incorporation fees, professional consultation, website costs, paper goods, furnishings, marketing materials...
3) I'm a good therapist so I'll have plenty of clients
There are plenty of great therapists who don't make it in a private practice setting. While being a skilled therapist helps you keep clients and makes it more likely that your current clients will refer friends and family to you, it has nothing to do with actually getting clients in the door of your practice.
4) I'll make a lot of money
Unfortunately, most start up businesses fail, and a private practice is a business. While there is potential to become very profitable, that isn't always the case. In my experience there's a lot of ebb and flow in terms of referrals and direct care hours so you can expect some months will not be as profitable as others. Additionally, all of your taxes will come directly out of your profits each year.
5) It'll be much less work than working for an agency
While it is amazing to be the "boss" and have the freedom to set your own schedule, see the clients you want to see, decide what paperwork you'll require, there is a flip side. You'll also be dealing with all of the billing, marketing, client complaints, and practice management tasks that were once taken care of by someone else.
What are some myths you used to believe about private practice?