If you own your own practice, you are your own boss. In other words: You work the hours you want to work. You hire your own staff. You see the patients you want to see when you want to see them. And you pay your own overhead and malpractice insurance. You have the potential for higher pay, but you will have more costs.
If you are EMPLOYED by a hospital (not just have hospital privileges), overhead of nursing/allied health staff, admin staff, equipment, building space, and insurance is covered, but you lose the ability to "be in your own boss" in many ways. You will likely make less than some private practice physicians, but will incur less costs (especially in OB). So your net may be equal to or better than your private practice counterparts depending on location/specialty/etc.
A loose analogy would be like living on your own versus with your parents. On your own you can eat twinkies every day for breakfast if you feel like it, but you have to pony up for rent, insurance, etc. At home, your parents are paying those bills, but you have a curfew and chores. If you would be living an area where rent is high, then living at home might be worth the curfew/chores. If you live in an area with low cost of living, it might be worth it to trek out on your own.