I was an independent researcher for a while. Some things that come to mind:

• Having gotten a commitment for funding in the long-term would have taken a weight off my back.
• I really disliked it when my lower quality or less useful posts got more upvotes. I think I get a lot of value from contexts where doing more good -> more respect, rather than when the two are uncorrelated. This is something that I think EA Spain gets very right.
• I should probably have spent more money on better computer setups much sooner
•  I should have started circulating drafts as google docs much sooner

These were pretty quickly written, more may come to mind. 

Longer term funding is definitely an issue, but the biggest thing is working alone. I appreciate interacting with people around my work and ideas, so when I am working primarily as an independent researcher, I build collaborations and work with others to ensure that I stay motivated. But even then, not having support for the work in the form of institutional backing and promotion, along with things like help with proofreading and copyediting, and doing graphic design, is definitely a possible cause for reduced impact.

I actually reflected on what points were holding me back as independent research quite recently.

A major point seems to be a lack of research oversight. This isn't so much about accountability for getting things done, more to have somebody thinking objectively and providing a detached perspective on which ways to address open-ended problems and when to change directions, etc. This kind of management isn't necessarily well done in academic research (at least in my experience) but I have recently found that Jason Schukraft's management style has been helpful for a project that I'm working on with him at RP.

Another I've noticed is that it can be hard to prioritize my independent research over competing projects that I already have in progress with academic researchers (or getting drawn into new projects with people who I've already published with - although I'm getting better at saying no to new things). In most cases, I think my independent research in physical virology is likely to have much more impact than continuing research in my former field of visual biophysicis, but dropping an in-progress academic project (particularly if I've been paid to do some work on it previously) feels like a strong violation of an academic norm so I tend to stick them out until they are done. These projects usually also involve working with a larger team of people, which is also appealing when you are used to working alone.

For me what leaps to mind is all of the in-between stuff, like proofreading, LateX issues, graphics, plots, etc. Of course, I've also tried to hire help on some of these fronts with very mixed results (generally negative). So I guess I'd say that fundamentally, independent work can really suffer from its independence (not having various supports and connections that would make it better). Building relationships and collaborations that alleviate these problems is part of being an effective independent researcher.