Do you think self employment is best than working under others?

It depends on attitude and resources of an individual. One needs to work under somebody or in a reputed establishment for learning basic skills. Later, he may consider self employment. In some cases, self employment opportunities are hereditary. A son of a successful professional will get self employment facility in his own family establishment.

It depends on individual's interest and preference.For me,both are acceptable.

I think self employment is the best, we are the boss and we are free to work as we like

Yes it is, provided you should have sufficient skills and expertise backed by funds required to withstand the competition. It also creates opportunities for others to get employed.