As my company's sole employee, I get unlimited leave, paid sickness, technically gapless employment (for the days/weeks I don't work I still get a wage), my company pays for my training and will supply me with security for the next 90 days (standard for anyone working for a large company). The only thing I don't get is a pension paid for me.
But then again, I don't tend to stay in any one place for a long term, the majority of my work is weeks in length not years. I (and others) are not doing anything illegal.