I thought it might be a good idea to talk about something which is very topical and controversial among self-identified witches--namely the idea of initiation. Just before I give my opinion, I should say very clearly that I am not initiated in any coven, group, spiritual house or religion.
There are few issues in the wider Pagan/Witch community that are more controversial.
My personal answer, which I will explain, is that the answer to the question depends on what you want and who you are.
If what you want is to practice as a member of the priesthood in an initiatory religion or be a part of a group, then you do need to be initiated. This should go without saying, but surprisingly it is very common for people to think that you can be part of the priesthood of an initiatory tradition such as Wicca, Lucumi/Santería, or Palo Mayombé without being initiated. Or worse, people believe that their "self-initiations" bring them into the faith. Saying you have self-initiated is like crashing a party and saying that you self-invited. It's an oxymoron.
That being said, maybe you should ask yourself why you want to be initiated in the first place.
There are many potential advantages. Initiations can introduce you to a wonderful, solid community that constitute a great source of strength, healing and support. Obviously a community like this is forged by a give-and-take from members, so any group worth its salt will not just let anyone in. It takes time, effort and a vetting process for a potential initiate to be accepted in the group and for the potential initiate him/herself to decide whether the group meets their needs. This process can be a strong incentive for spiritual growth and therefore result in a higher level of self-mastery, and therefore power. Those are all very good reasons to get initiated.
But let us not confuse the means with the end.
You do not have to be an initiate to be a witch, for example. As I have said in previous posts, a witch is fundamentally a heretic. Wicca is the first initiatory tradition that ever called its adepts "witches". Most other initiatory traditions (not to mention mainstream religions) that had existed before often considered "witchcraft" to be negative magic which was not officially sanctioned. Being a witch means that you regularly practice magic outside of the mainstream or official spiritual framework. So assuming that you need to be initiated to be a witch is quite naive. It also shows how contextual the designation "witch" is. Someone might be considered a "witch" in one culture and not in another.
Similarly, you do not have to be an initiate to be spiritual, to practice magic, to grow in personal power and understanding of the world or to self-improve. All of these are frankly your rights as a human being. Universals and self-knowledge are just that, regardless of what any group or religious hierarchy says. If doing or obtaining any or all of these is your goal, I think the question is to ask is what will help you do that? If you're an extroverted, "people person" maybe a good group will encourage you to do that. If you're someone who has an excellent record of self-teaching in other areas of life, maybe the solitary path is the way to go for you.
Regardless of which path you choose, the only essential is to have a strong sense of self and be true to it. By this I mean, have a sense of your identity as a human being, and believe you have limits that deserve respect. Although Western society attaches negative connotations to the word, limits actually are what gives anything meaning. A person who has no sense of self ironically is what justifies the common criticisms of both those who endeavor to be solitaries and those who endevor to join groups. We've all heard stories of groups gone horribly wrong; everything from fake clergy offering expensive (and suspiciously short) initiations to groups perpetrating sexual and physical abuse on their potential initiates, or even ritual sacrifice (Kool-Aid anyone?). On the other hand, we've heard of solitaries who seem to be as grounded as a cloud on a windy day....they change their underlying practice and philosophy more often than most of us change our underwear without ever achieving any self-actualization. These are people who could have stood to know or remember that no spiritual fad nor enlightened group will ever make you more than who you are. And that's how it should be.
So in conclusion, my thoughts can be summarized as follows. Initiate if you want to be part of group. Don't initiate if you don't. Be who you are either way; the rest is window dressing.